I presented a session at Devdays on Windows Phone 7 Development. I promised to provide the relevant links to get you started.
Getting Started Dev Portal
Software (Visual Studio integration)
Windows Phone Developer CTP (aka the bits) – You will download a bootstrapper. The bootstrapper will download, and install the relevant bits for you. If you do not have VS2010 RC installed for example, it will install an Express Edition targeted at Windows Phone Development
Silverlight Tools for VS (not 100% if you need this, it might be installed by the Developer CTP)
Software – Windows Phone Support in Expression Blend
Charles Petzold Windows Phone 7 Book (6 chapters) – can download sample code too.
Videos/Slides from MIX – search for “Phone” on the page for relevant sessions.
I hope this helps.