I split this off from the MDK sticky thread, it didn't seem right in there, even though it is kind of on topic.
As the
MDK documentation says you have to copy the ex.fgd to your sourcesdk/bin folder.
What it doesn't say is how to setup a configuration for n EX in the SDK tools window. I did this using notepad to copy the "Half-Life 2: Deathmatch" section of the GameConfig.txt (also in the sourcesdk/bin folder, always backup before you change it), and renaming it to "Exterminatus" and changing the GameDir to point at the SourceMods\ex folder.
Then you have to open up the Source SDK tools menu, and change the Current Game to Exterminatus (if it's not in the list try re-starting steam). Fire up Hammer and go to the Tools -> Options window, remove the hl2mp.fgd and add the ex.fgd.
You can now make maps using the EX specific entities (and the standard source ones), including the prop models and textures that come with the MDK. There are tutorial maps in the Sourcemods/ex/mapsrc folder to illustrate how the EX entities can be used.
Sadly the above steps could not be automated as part of the installation.