  Dark matter direct and indirect detection signals depend crucially on the
dark matter distribution. While the formation of large scale structure is
independent of the nature of the cold dark matter (CDM), the fate of
inhomogeneities on sub-galactic scales, and hence the present day CDM
distribution on these scales, depends on the micro-physics of the CDM
particles. We study the density contrast of Weakly Interacting Massive
Particles (WIMPs) on sub-galactic scales. We calculate the damping of the
primordial power spectrum due to collisional damping and free-streaming of
WIMPy CDM and show that free-streaming leads to a CDM power spectrum with a
sharp cut-off at about $10^{-6} M_\odot$. We also calculate the transfer
function for the growth of the inhomogeneities in the linear regime, taking
into account the suppression in the growth of the CDM density contrast after
matter-radiation equality due to baryons and show that our analytic results are
in good agreement with numerical calculations. Combining the transfer function
with the damping of the primordial fluctuations we produce a WMAP normalized
primordial CDM power spectrum, which can serve as an input for high resolution
CDM simulations. We find that the smallest inhomogeneities typically have
co-moving radius of about 1 pc and enter the non-linear regime at a redshift of
$60 \pm 20$. We study the effect of scale dependence of the primordial power
spectrum on these numbers and also use the spherical collapse model to make
simple estimates of the properties of the first generation of WIMP halos to
form. We find that the very first WIMPy halos may have a significant impact on
indirect dark matter searches.
