Oh, so Once I install Express Visual Studio 2012 I will also have DX11.1 which is the latest ?
That's right. DirectX SDK is now the part of Windows 8 SDK, which will be installed with Visual Studio, so you don't have to install anything by yourself and don't have to configure additional include folders in your project settings.
If you gonna use it, don't forget what I mentioned before about D3DX helpers (like D3DXVECTOR3, D3DXMATRIX, D3DXCreateEffectFromFile and others). Almost all of tutorials out there are based around using those helpers, but they are deprecated in Windows 8 SDK.