If you are on a Windows platform, using Visual Studio to write F# is strongly recommended, as F# has excellent integration with the IDE, debugger, etc.
If you have Visual Studio 2010 or higher, F# is already included.
If you have Visual Studio 2008, you can download an installer for F# from MSDN.
If you have neither, you can install the "Visual Studio Integrated Shell" and then install F# into that.
Once you have F# installed, you should create an F# project.