Below are the links to where you can download the appropriate software for each platform.
IMPORTANT: Do take note that there may be several other software needed to be installed for the SDKs such as Netbeans and Eclipse for your IDE, so do take the time to make sure that you were able to install the SDKs properly. Follow the Getting Started guides and make sure you are able to run an example project.
Nokia Series 40
http://www.developer.nokia.com/Develop/Java/Code_examples/ – Sample Projects
Do note that you can also create Series 40 games via Flash Lite.
http://msdn.microsoft.com/en-us/library/ff402529(v=vs.92).aspx – SDK and Sample Projects
http://unity3d.com/unity/download/ – SDK and Sample Projects
AS3 via FlashDevelop
http://www.flashdevelop.org/community/viewtopic.php?f=11&t=9327 – IMPORTANT: Take the time to install FlashDevelop, as it requires another download of the Flex SDK once you start downloading (approx. 300MB)
http://box2dflash.sourceforge.net/ – Try and compile the project
Art / Sound Asset Creation Tools
Blender – For 3D
GIMP – For 2D
SFXR – to generate random sounds