Microsoft released the F# April 2011 CTP which provides all the tools and resources needed to develop applications with the F# programming language. It is available as an MSI for use with .NET and Visual Studio, and as a ZIP for use with other CLI implementations and platforms, including .NET Compact Framework on Xbox 360, and Mono on Mac, Linux and other platforms.
F# is a functional programming language for the .NET Framework. It combines the succinct, expressive and compositional style of functional programming with the runtime, libraries, interoperability, and object model of .NET.
If you want some hands-on, get some F# Samples over here