Just put the SDK here in the your Flex install:
C:\Program Files\Adobe\Flex Builder 3\sdks\4.x.x
where the x are numbers indicating the sub-version of the SDK.
Then when you create a Flex project in Flex Builder, after initially creating the project do this in menubar:
Project - Properties - Flex Compiler - Flex SDK version - Configure Flex SDKs - Add
Project - Properties - Flex Compiler - Flex SDK version - Use a specific SDK - 4.x.x
Also set the Flash Player version to 10:
Project - Properties - Flex Compiler - Require Flash Player version - 10 0 0
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For better use of Gumbo use flash builder 4. which gives advanced functionality for Flex 4 SDK.