There are 4 different links at http://msdn2.microsoft.com/en-us/architecture/bb229292.aspx that should help you decide "where to start", and the order that I used is:
1 - Watch the Sample Application Demo Walkthrough (video) - so I know the results
2 - View the SaaS Application Webcast (video) - so I'm sure I want more
3 - Get the Documentation - so I know if I need other prerequisites to make all this stuff "mine"
4 - Visual Studio Solution - Get the Code - and then unzip, go back to doc, etc.