Unfortunately, the Android SDK does not come with source code, and you will find that the docs are not good enough sometimes.
There are a lot of tutorials on how to install source code using git. In face git is not needed, source code can be downloaded directly from the online source tree at http://android.git.kernel.org/.
This URL gives a list of all available heads (versions of Android). Then just select a version (donut; eclair ; froyo etc..) tree and click on snapshot to get a nice source code tar.gz without any need for git.
For example, Froyo's tree is here, follow this link to get a snapshot.
Then install it as if it was checked out with git, move all Java sources into a "sources" subdirectory of the Android SDK.