Since I don't have a personal license for Visual Studio, I decided to download and install Visual Studio .NET 2008 Express. Microsoft makes it very easy to install everything you need by downloading the Microsoft Web Platform. That was the route I took to install Visual Web Developer.
It downloaded a small "loader" application which I used to choose which options to install. There were many more options than I really needed, so I just chose the ones I knew I needed, and a couple others that I thought sounded cool.
That overall experience was nice, but required two reboots to complete. One reboot for .NET 3.5 and another for the Microsoft Installer.
Then I started up Visual Web Developer, chose to create a new project, chose "Silverlight Application", gave it a name and folder to put it in.
Then it terminated unexpectedly. No warning whatsoever.
When I started it back up, my project was listed in the "Recent Projects" list, so I clicked on it. The Silverlight application was listed, but the web site to host it was not, so I assume that the crash happened when the web site was being created. Not sure.
Stay tuned as I dig into this problem and try to get this first Silverlight application up and running!