Download the tools at http://silverlight.net/getstarted/
Building your first Silverlight Web Application will not be difficult if you are already familiar with XML, since everything that has to do with designing and configuring your pages is done by writing on a XAML file.
If you are unfamiliar with XAML visit http://msdn.microsoft.com/en-us/library/ms752059.aspx
Building the back bone of a Silverlight Web Application, Visual Studio 2008 gives you the option to create a stand alone Silverlight Application or a solution that contains a Silverlight Application project and a project with the nessecary aspx pages in order to test your application.
When deploying a Silverlight Web Application keep in mind that not everyone has Silverlight installed on their machines. This means that the end user will be prompted by default to install Silverlight in order to proceed. But not every user is "Computer Friendly", meaning that my father for example will hesitate to install the new technology fearing that Silverlight might be a virus or that malicious code will destroy his computer.
Quoting a tip in Matthew MacDonald's Pro Silverlight 3 in C#
Studies show that Web Surfers are far more likely to make it through an installation process on the Web if they are guided to do it as a part of an application, rather than prompted to install it as a technology...This means that users might be suspicious of the Silverlight logo, small banner and the Get Silverlight button that appears on their screen of they do not have Silvelight and try to view your page. To give web surfers a friendlier experience try to customize that content and make it part of your Web Application
A final issue is that of the versioning. Silverlight 4 Beta is already out there. So what will happen if I have Silverlight 3 and try to view a site on Silverlight 4???Again Silverlight will show a dialog box prompting for upgrades etc something that a non "Computer Friendly" person might be suspicious of. The suggestion is to make the upgrade part of your Web Application by customizing its behavior when the version problem occurs.
More on Silverlight about to come...