This might sound like a silly question but is there a manual or a guide on how to set up Team Foundation Server 2010 in Visual Studio 2010 Premium or Ultimate? It comes built-in right?
I've only got up to the Server list part. It's asking me to select a TFS server and port, but I don't think I have one. All I have installed is Visual Studio 2010. According to this product comparison page, TFS 2010 should come pre-installed with Visual Studio 2010.
Team Foundation Server is the source control server application. It is not the same as Visual Studio 2010 Premium/Ultimate.
In order to use TFS, you must install it on a machine on your network, then connect to it using the client, which is what comes preinstalled with Visual Studio.
Back in 2008, you'd have to download the TFS Client separately and install that in order to connect Visual Studio to a TFS instance. This might be what's leading to your confusion.
No, it doesn't come built in. Team Foundation Server is a separate product from Visual Studio; the (slightly misleading) table on the page you linked does indicate that TFS "can be purchased separately."