I read from Tomas's post that newer version windbg can't be downloaded from microsoft directly anymore. To get newer windbg, we have to download the huge 620 mb WDK iso and extract windbg installer from it manually. The newest windbg standalone installer is version 126.96.36.1994, released on March 27, 2009.
I don't know if microsoft will listen to our customer's voice and release a standalone windbg. Before they will, for the convenience for developers like me, here is extracted windbg package:
windbg 6.12.0002.633 x86 http://rxwen-blog-stuff.googlecode.com/files/windbg_6.12.0002.633_x86.zip
A noticable change of this version is: ADPlus V7.0 is a total rewrite of ADPlus. ADPlus is now written in managed code which will allow us to add new features much easier. The old version is renamed to adplus_old.vbs. This page lists more changes of the new version.
Hope it helps.