The F# compiler is a free and open source tool which is available for Windows and Linux (via Mono). Find out more about F# and how it is used at the F# Foundation.
You can use it with an IDE (Visual Studio, MonoDevelop), in your browser, or as a standalone compiler with your favorite text editor.
Once you have F# installed and running, you can follow along with the code samples.
The best way to run the code examples on this site is to type the code into a FSX script file, which you can then send to the F# interactive window for evaluation. Alternatively you can type the examples directly into the F# interactive console window. I would recommend the script file approach for anything other than one or two lines.
If you don't want to install anything, I highly recommend the Try F# site, which is an interactive environment where you can explore F# in your web browser (on Mac and Windows). It contains a number of online tutorials, and you should be able to run most of the code on this site there.
For the longer examples, the code is downloadable from this website -- the links will be in the post.
Finally, I would encourage you to play with and modify the examples. If you then get compiler errors, do check out the "troubleshooting F#" page, which explains the most common problems, and how to fix them.
You can get F# for multiple platforms here. Once you have downloaded and installed F#, you might also consider installing the F# power pack, which provides a number of nice extras, some of which will be referred to in this site.
If you are on a Windows platform, using Visual Studio to write F# is strongly recommended, as F# has excellent integration with the IDE, debugger, etc.
Once you have F# installed, you should create an F# project.

And then create a script (FSX) file to run the examples in.

Next, make sure the F# interactive window is active (typically via View > Other Windows > F# Interactive).
Using a script file to test code is much the easiest way to experiment; simply type in some code in the script window and evaluate it to see the output in the interactive window below. To evalulate highlighted code, you can:
Alt+Enter key combination (but see note below on keyboard mappings).
If you have Resharper or other plugins installed, the Alt+Enter key combination may be taken. In this case many people remap the command to Alt+Semicolon instead.
You can remap the command from the Visual Studio menu Tools > Options > Keyboard, and the "Send To Interactive" command is called EditorContextMenus.CodeWindow.SendToInteractive.
You can also work directly in the interactive window. But in this case, you must always terminate a block of code with double semicolons.

F# is included in Mono as of the Mono 3.0.2 release. Download Mono here.
Once you have Mono installed, you can use the MonoDevelop IDE or an editor such as Emacs.
If you don't want to download anything, you can try F# directly from your browser. The site is at www.tryfsharp.org. Note that it does require Silverlight to run.

F# has a simple interactive console called FSI.exe that can also be used to run code in. Just as with the interactive window in Visual Studio, you must terminate a block of code with double semicolons.

SharpDevelop has some support for F#. You can create an F# project, and then within that, create a FSX script file. Then type in some code in the script window and use the context menu to send the code to the interactive window (as shown below).

If you have problems getting your own code to compile, the "troubleshooting F#" page might be helpful.
F# uses exactly the same "projects" and "solutions" model that C# does, so if you are familiar with that, you should be able to create an F# executable quite easily.
To make a file that will be compiled as part of the project, rather than a script file, use the .fs extension. .fsx files will not be compiled.
A F# project does have some major differences from C# though:
You can also use F# as a scripting language, rather than having to compile code into an EXE. This is done by using the FSI program, which is not only a console but can also be used to run scripts in the same way that you might use Python or Powershell.
This is very convenient when you want to quickly create some code without compiling it into a full blown application. The F# build automation system "FAKE" is a example how useful this can be.
To see how you can do this yourself, here is a little example script that downloads a web page to a local file. First create a FSX script file — call it “ShellScriptExample.fsx” — and paste in the following code.
// ================================
// Description:
// downloads the given url and store it as a file with a timestamp
//
// Example command line:
// fsi ShellScriptExample.fsx http://google.com google
// ================================
// "open" brings a .NET namespace into visibility
open System.Net
open System
// download the contents of a web page
let downloadUriToFile url targetfile =
let req = WebRequest.Create(Uri(url))
use resp = req.GetResponse()
use stream = resp.GetResponseStream()
use reader = new IO.StreamReader(stream)
let timestamp = DateTime.UtcNow.ToString("yyyy-MM-ddTHH-mm")
let path = sprintf "%s.%s.html" targetfile timestamp
use writer = new IO.StreamWriter(path)
writer.Write(reader.ReadToEnd())
printfn "finished downloading %s to %s" url path
// Running from FSI, the script name is first, and other args after
match fsi.CommandLineArgs with
| [| scriptName; url; targetfile |] ->
printfn "running script: %s" scriptName
downloadUriToFile url targetfile
| _ ->
printfn "USAGE: [url] [targetfile]"
Don’t worry about how the code works right now. It’s pretty crude anyway, and a better example would add error handling, and so on.
To run this script, open a command window in the same directory and type:
fsi ShellScriptExample.fsx http://google.com google_homepage
As you play with the code on this site, you might want to experiment with creating some scripts at the same time.