For Direct3D 11, the best way to go is to use VS 2012 or VS 2013 with the integrated Windows 8.x SDK and avoid the complexities of using the legacy DirectX SDK (June 2010) at all until you determine you actually really need it (the one compelling case would be XAudio2.7 on Windows Vista or Windows 7 rather than using XAudio 2.8 on Windows 8 or later).
For Windows Store apps on Windows 8.x, there a lot of official tutorials and samples on MSDN and the MSDN Code Gallery for you to learn about Direct3D 11.
For Win32 desktop apps on Windows 7 or Windows 8.x, I've posted a lot of unofficial samples harvested from the legacy DirectX SDK that build just fine with the Windows 8.x SDK. See this blog post for an inventory and links to MSDN Code Gallery.
Many older tutorials and books do indeed assume you are using the now deprecated D3DX library, but for Direct3D 11 there are a lot of options that avoid it as covered here. Some recent books embrace these newer libraries as well.
BTW, I'm assuming from your question that you are asking about programming Direct3D 11 with C++ since that's what the DirectX SDK and the Windows 8.x SDK support. If you are looking for C#, then I suggest looking at SharpDX or SlimDX.