Follow the steps in this article to get started.
One thing that was mentioned pretty early on is that you really should install sharepoint on the local dev machine. I have never tried developing without it (and I fear it is a requirement) as it makes getting the job done so much easier. Furthermore, you can't break the production server. Nevertheless, installing the Sharepoint Developer Kit from here is also pretty mandatory.
In the past, I have just used a VM with win2k3/2k8, sharepoint and the current flavour of Visual Studio and worked in a local virtualised machine. Made it easy to work with, roll back to non-broken states and meant I didn't need to kill my dev machine with Sharepoint etc.
Good luck!