Hi,
it depends. Some packages only contain the xdk pc side. It is the sdk you install on your pc that adds xbox development to visual studio 2003. You also need the debug dash xbox files. They can stay on your xbox c and e partition together with the normal retail M$dash, even when that one was softmodded. The xbox files normally came with the debug kit as a cd iso file. You could burn that iso on a cdrw, and run it on the xbox. It was only intended for the debug xboxes. It erases the xbox eeprom and tries to reflash the xbox bios chip with the debug bios. If you try it on a retail xbox, you are in trouble as it will very likely erase your xbox eeprom chip.
regards.