Running samples is all well and good, but you're ready to get your hands dirty now. Well, the great thing about HDi is that you can use the same tools you're used to using for web development. The differences you will need to keep in mind - your scripts will need to be encoded as UTF-16 Big Endian, your markup files will need to be encoded as UTF-8 or UTF-16, and your images will need to be PNG or JPG.
Here are some tool suggestions...
Microsoft Visual Studio
Microsoft Visual Web Developer - Express Edition (free)
Microsoft Expression Web (free trial)
Did I leave out one of your favorites? Let me know and I'll add it.