Took me a couple of hours to figure this out. As I had rebuilt my dev box to install Win 7, and freshly intsalled VS 2008, I was wondering why I was not getting the code analysis tab in the project proerties - I use C#.
It requires Visual Studio Team System 2008 for it to work. I chose the Test Suite option. Then installed updates and afterwards rebooted for the updates to take place.
The you are good to go! Happy FxCopping 🙂