Windows debugging tool installation is quite easy if you have proper tools and understanding about its usage. Before you start windows debugging you must install Windows Debugging Tools for Windows .
As time passes and Microsoft keeps on releasing different updated version of Operating system, they will keep on upgrading the tools associated with it as well.
We can get Debugging tools for windows in three [3] different ways.
First as a part of WDK . Install Microsoft Visual Studio and then install the Windows Driver Kit (WDK). Debugging Tools for Windows is included in the WDK. You can get the integrated environment here.
Secondly as part of the Windows SDK. Install the Windows Software Development Kit (SDK). Debugging Tools for Windows is included in the Windows SDK. You can get the Windows SDK here.
Last but not least as a standalone tool set.If you want to download only Debugging Tools for Windows, install the Windows SDK, and, during the installation, select the Debugging Tools for Windows box and clear all the other boxes.

As I understand you will not limit your self so its better to go with last option, standalone tool set.

Step 1

Click on the link Windows Software Development Kit (SDK) for Windows 8.1

Windows SDK 8.1 Installation Link

Windows SDK 8.1 Installation Link

Step 2

It will download sdksetup.exe either in the download folder or to the location you specify.

sdksetup downloaded

sdksetup downloaded

Step 3

Make a right click and select the properties of installer and unblock the installer . and Start installer with administrative rights.

Step 4

If .NET framework is not installed. As .NET framework is pre-requisite so installer will install it.

NET framework requirement

NET framework requirement

Check “I accept the Microsoft .NET Framework license terms”. And click on “Accept & Install”.

Installation of NET framework

Installation of NET framework

Step 5

After the .NET framework installation Installer will install SDK for Windows 8.1 . You can either choose install option or you can download it first and use the downloaded installer for installation purpose on any other machine or on the same machine. I had chosen installation . Click on “Next”.

Install or Download option for Windows SDK

Install or Download option for Windows SDK

Step 6

Installer will go to the page for “Customer Experience Improvement Program” . I am installing it for testing purpose so opted for not participating it the program. And Click on “Next” with selecting “No”.

Customer Experience Improvement Program

Customer Experience Improvement Program

Step 7

Accept the License Agreement

License Agreement for SDK

License Agreement for SDK

Step 8

Select “Debugging Tools for Windows” for those who want to get access of Windbg tool.

Selection - Debugging Tools for Windows

Selection – Debugging Tools for Windows

Else I would suggest to check “Windows Performance Toolkit” for installation. Performance tool kit gives an option for Xperf, Performance Analyzer and Windows Performance Recorder.

Selection - Windows Performance kit

Selection – Windows Performance kit

Step 9

Click Install
Installing Features…….Installation started . Please sit back and relax.

Installing Features

Installing Features

If you have selected as Install , you will get output as “Installation Completed” . Else if you have opted for download you will get output as “Download is complete.”

Windows Debugging Tool Download Completed

Windows Debugging Tool Download Completed

Keep enjoying .