Download F#: there are several ways to do this on Windows:

Use Visual studio
Use Visual studio command line tools  (already comes with "dotnet" program)
Use stand-alone compiler (F# sdk)

In any case you will need to set the PATH environment variable in
control-panel/system/advance/environment variables (bottom window) to where
fsc.exe is located.  On my system it's in
C:\Program Files (x86)\Microsoft SDKs\F#\4.1\Framework\v4.0\

On Linux/Mac OS, if you have installed Mono for C#, then you already have F#.

To compile .fs program on windows (using stand-alone command line compiler):

fsc program.fs
fsc program.fs -r resource.dll 
fsc program.fs --target:library   // compiles to .dll

compiles to .exe

fsi  // runs interactive interpreter

// However, if you download visual studio commandline tools, you'll have to
// use the dontnet program (which is a PIAIMO).


To compile .fs program on Mono:

fsharpc program.fs  [ -r, --target]
compiles to .exe
mono program.exe to run

fsharpi // runs interactive interpreter in Mono


Mono is probably easier to use than Microsoft's own tools, even on
windows, but if you want access to features like windows forms
(graphics), directX, etc, you should use the MS versions.