After installing the SDK, you will find it in either
Program Files\Microsoft Speech Platform SDK\Samples\Assembly, or
Program Files (x86)\Microsoft Speech Platform SDK\Assembly
Remember that the (correct) runtime has to be installed. By correct, I mean the one that matches your program.
Thank you Timothy.
As simple as it sounds, I had forgotten to target x64 for my project on my Windows 7 x64 machine with the x64 SDK installed.