+2  A: 

Not sure how to do this within Visual Studio but it is easy to do from the command line. Just exit VS and go to a command prompt at the root folder of the project(s) you want to put under source control and type "hg init". Then load the solution and verify that hg is the selected source code provider.

David Lynch
+2  A: 

with tortoiseHG you can rightclick on an explorer window and do tortoiseHG -> Create Repository Here which runs hg init for you. I believe currently there is no way to run hg init from visualHG.

jk