Weird, the code that is showing this message box is doing this:

if (string.IsNullOrEmpty(Environment.GetEnvironmentVariable("SharpDXSdkDir")))
{
    MessageBox.Show("Unable to find SharpDX installation directory. Expecting [SharpDXSdkDir] environment variable", "SharpDX Toolkit Wizard Error", MessageBoxButtons.OK, MessageBoxIcon.Error);
    throw new WizardCancelledException("Expecting [SharpDXSdkDir] environment variable");
}

So it means that Environment.GetEnvironmentVariable("SharpDXSdkDir") is null or empty. Could you try set in a command line and find if SharpDXSdkDir correctly show up? Could you also write a simple .NET program and run it on your machine to check this env variable?

Thanks a lot for your help, I did as you instructed.

set works perfectly, and prints what it should: the installation directory of SharpDX.

This line does not work:

Console.WriteLine("SharpDXSdkDir = " + Environment.GetEnvironmentVariable("SharpDXSdkDir"));

That's the overload the Visual Studio Extension invokes. It doesn't print the path to the installation folder, just an empty string where it should be..

This line works:

Console.WriteLine("SharpDXSdkDir = " + Environment.GetEnvironmentVariable("SharpDXSdkDir",
 EnvironmentVariableTarget.User));

The installer sets SharpDXSdkDir for me as an environment variable at user level. For the Visual Studio extension to work as the installer is now, the Visual Studio extension should use this overload with this EnvironmentVariableTarget value, but I'm not sure if SharpDX would work for all users then. I have a better suggestion bellow

This line also works in my case

Console.WriteLine("SharpDXSdkDir = " + Environment.GetEnvironmentVariable("SharpDXSdkDir",
 EnvironmentVariableTarget.Machine));

Probably because I have manually set the SharpDXSdkDir variable as a system variable, while attempting to solve the problem. I think the best idea would be if the installer would set SharpDXSdkDir as a system environment variable instead of a user variable, and I think the Visual Studio Extension should invoke this overload passing EnvironmentVariableTarget.Machine as the second argument

This call, on the other hand does not work:

Console.WriteLine("SharpDXSdkDir = " + Environment.GetEnvironmentVariable("SharpDXSdkDir",
 EnvironmentVariableTarget.Process));

I think this is the equivalent of the overload of Environment.GetEnvironmentVariable that receives only a string argument, and behaves exactly like it: prints an empty string where the value of the variable should be

Super, thanks for investigating this! This is fixed by commit 005d95c. Hopefully available in next release 2.6