Whether using monodevelop or visual studio you will need to turn Option Strict On. Turn up warning levels. All warnings should be errors. This really pays off in the long run.
I will not be giving detailed instructions on how to install the required software. I am going to assume you know how to install software and if you cannot you are reading the wrong book. Follow the links below to get you started. If they are broken do a google search for the product and you should be able to find them. Each product linked below is free to use and monodevelop is open source.
In general all lessons in this book will assume that you are using monodevelop. This is to make it easier for programmers using Mac and Linux. You can also use monodevelop on windows but for a better IDE experience you can use visual studio.
Windows - Install visual studio express 2012/2013 for windows desktop http://www.microsoft.com/visualstudio/eng/products/visual-studio-express-for-windows-desktop. Or try MonoDevelop http://monodevelop.com/Download. Or try Xamarin Studio http://xamarin.com/studio.
Linux - Install MonoDevelop and vbnc. You should be able to find these in your package management system. Alternatively you can try http://monodevelop.com/Download and see if they have updated packages.
OS X - Install MonoDevelop and vbnc http://monodevelop.com/Download. Or try Xamarin Studio Or try Xamarin Studio http://xamarin.com/studio.