If you use Visual Studio 2005, you can use 'F# Interactive' as a tool window!
To start the session, go to the Tools->AddIn and select 'F# Interactive for Visual Studio'. If it is already selected, then unselect it, close and reopen the AddIn manager and reselect it. Either way a new window should appear with an F# Interactive session. You can also start up F# Interactive simply using Alt-Return.
The session is global to the instance of Visual Studio and text can be sent from any F# source code file (.fs, .fsi, .fsx, .ml, .mli). #quit;; will quit. Use the Alt-Return combination to evaluate selected text, and Alt-Quote (i.e. Alt-') to evaluate the current line of text without selecting it. For example, highlight printf "Hello World\n" and use this key combination - the code will then execute. History is available with the up/down arrows. These shortcuts may change in future releases.
File names are resolved relative to the scripts containing the reference. Visual F# Interactive sets the line and directory context of the session each time an entry is sent from Visual Studio.
You should use #r and #I to reference assemblies and augment your assembly include path.
You will still want to create an F# Project to hold a group of related scripts and to set global parameters related to type checking. You can do this with New Project etc. or by making a copy of one of the projects in the F# Samples directory. You can also use #load to load both signature and implementation units as if they have been compiled as compilation units by the command-line compiler.
To troubleshoot, see README-fsharp.html
Please contact fsbugs@microsoft.com with feedback on this documentation.