Is TFS the right tool for this: Maybe. It may be a bit much overhead to use for a course.
How do you start: If you have Visual Studio 2010 Ultimate, TFS should be included. Everything is installation wizard based, and the install (can) give you everything you need. For what you want, a stand-alone installation using SQL Server Express should be fine.
If you're looking for something lightweight that you all could use for source control, you might want to consider some of the git/svn hosting services (e.g. http://unfuddle.com). There's no direct integration with Visual Studio without a third-party tool, but it will give you the basics of being able to share source code among your team.