If you had the installer add the SDK to the path for you, just open a command prompt and type "clc yoursourcefilename.cl"
On my machine, the compilers are located at:
C:\Program Files (x86)\ATI Stream\bin\x86_64\clc.exe
C:\Program Files (x86)\ATI Stream\bin\x86\clc.exe
The compiler output is pretty standard so I'm sure it's possible to integrate it with Visual Studio, but I haven't bothered myself.
Thanks for the info.
I created a rule file for .cl files that calls the compiler. The output appears in the "Output" window of VS2008, and the F4 key moves the cursor to each error in turn. That was easy.