Although there will presumably be a Visual F# Express at some point in the future, at the moment the F# Visual Studio addin requires a full version of Visual Studio since the other express versions do not allow addins.

It just so happens that with the release of Visual Studio 2008 we can now download a "full" version for free, it's called Visual Studio 2008 Shell and is designed specifically for language addins. The only difference is that it comes naked, without support for C#, VB.NET or C++.

Just install Visual Studio 2008 Shell (Integrated mode) then F#. If the F# addin does not function at first, launch "devenv.exe /setup".