When you open your VS2008, you should have a project template to create a new SL SDK Project from. If you create a new project from that with the executable that it compiles named properly to SL standards - it will run if you have SL open on your Dev machine. The toolbox should have a few new controls in it to add to your form. None of the other controls are allowed except maybe the label and button.
The SDK document in the User Guides folder on your SL server (If you installed them) has a whole guidelines section that you must follow to the letter to get stuff running. That document actually has everything you need to get a project up and running - the trick is to read it through to find all the nuggets of info you need.
Good luck