Install Visual Studio 2010 Beta 2 first before you do this.
http://silverlight.net/getstarted/silverlight-4-beta/#getting-started
Choose
Silverlight 4 Beta Tools for Visual Studio 2010
This will download a file Silverlight4_Tools.exe which then needs to be run to install Silverlight.
To use Silverlight start up Visual Studio 2010 and choose
New Project, Silverlight Application
Nice and familiar in first use to other Visual Studio IDEs
Had my hello world 2010 web app up and running in a few minutes.
God my CV is going to look hot.