SDK VS MSDN Library

Hello everyone,
I was thiking about ordering a Platform SDK CD Online from Microsoft Website. I am a little confused on the SDK Kit. Is this the same material as what is in the MSDN Library or is it more detailed information? The reason I ask I found some sample code and scrips from the msdn library that works great. However, I would like to explore more options with that control and dll. I was wondering if the SDK would go into more detail.

I would appreciate any information on this issue.

Thanks
Dan