This page details how to setup a local development environment.

Requirements:
In my case, I'm running my development environment on a Windows Vista Enterprise laptop. Your development environment setup milage may vary, but I'm hoping that walking through how I set up my machine will help others.

Working from a clean laptop, I did the following:
I installed the above because the DNN installation is set up to build out a DNN Public Assembly (PA). You can use Visual Studio Express and not use IIS if you want to run DNN from the Starter Kit model - or run DNN as a whole, but compiling the DNN PAs as DLLs that can be downloaded and installed as compiled code requires a non-Express edition of Visual Studio. You could - in theory - use Visual Studio Express if you built out the setup differently.

I then set up my development environment (Michael Washington has a good walkthrough on the topic):
Now that we have the system ready, let's start setting up DNN and getting everything working.
After all that - you're now set to code! Yay!