The most important thing with VLC is to check the message log. So, whne I ran the following:
vlc -vvv dshow:// --sout-keep --sout-all --sout=#rtp{dest=192.168.1.66,port=8833,sdp=file:///C:\test\my.sdp}
I got the following in my message log:
stream_out_rtp error: missing destination and not in RTSP mode
This tells me VLC is missing the destination. If you re-analyze the command line you'll notice that you've mistyped dest instead of dst. So you fix the error and now run:
vlc -vvv dshow:// --sout-keep --sout-all --sout=#rtp{dst=192.168.1.66,port=8833,sdp=file:///C:\test\my.sdp}
Still no file. It looks like the sdp output module doesn't do much output, but I can tell you from experience here that its the file path that's causing the problem. Use only *nix style slashes in paths, so you fix the path and run:
vlc -vvv dshow:// --sout-keep --sout-all --sout=#rtp{dst=192.168.1.66,port=8833,sdp=file:///C:/test/my.sdp}
And, assuming the permissions are setup correctly in the C:\test directory you should get your sdp file.
C:\test\my.sdp
?