I feel like a bit of a fraud writing this as I have not yet managed to do it. I know it's only a matter of buying some server space from Amazon and setting up a virtual machine and and and AND...but I haven't got around to it yet. Here is why.
You cannot download SharePoint on anything other than Windows 2003 Server and Windows 2008 Server. You might possibly manage it on XP but given that is, in Microsoft time, back in ye stone age, who knows whether the memory in an XP machine might keel over. And no, there's no quick and easy way to get the object model on a machine that is not one of these two machines. So in order to set up you will need a virtual machine with one of the windows Server operating systems on it.
Seriously. Don't get your little Windows 7 netbook and think "I'm sorted now" when the thing starts downloading because it won't tell you for half a flippin' hour that, well actually, you can't get SharePoint on this OS, and no the little hotfix thingy won't work, and no you can't get some sort of lightweight object model and no, no, no. (Not that a sophisticated SharePoint girl like myself ever did anything like that!)
On Sharepoint 2010 you have streamlined integration between Visual Studio and the application, but since I work with Sharepoint 2007, I have to work with what I've got. And streamlined or not, you still need the right OS. Just warning yiz all. Don't pay the ferryman till he gets you to the other side.