I'm just coming up to speed on .NET development, so take what I say with a grain of salt. And please let me know if I've made an error, or if you've got better suggestions.
Install Visual Studio
Express is the free, single-language edition. I installed the C# version. http://msdn2.microsoft.com/en-us/express/
Install NUnit
For creating unit tests for .NET code: http://nunit.com/ (not nunit.org, which lags behind)
Create a new project
If you don't know what type of project, choose "Class Library."
Create your first NUnit test fixture. Mine is SimpleTests.cs