So I had this session at DevTeach on F# and it seemed kind of cool. What I really liked about was the possibility to build multi-threaded apps (without a lot of extra effort) to make full use of my PC's horsepower. So the first thing I needed was a manageable project that was heavy on calculations. I finally settled on a stock market application.
This is the problem: I have stock market data for 1,300 companies that goes back to 1990 -- basically 7,000 price observations. The companies are grouped according to industries. I have 100 industries with an average of 13 companies per industry. The problem is that I want to calculate an "Industry Index" for each industry group so that I can tell on average how each industry is performing. So the programming problem is to create an index for each industry that averages all the price data for all the companies in each industry. From a parallel processing standpoint, this situation is perfect because each industry's index is totally unrelated to each other's index. Thus, I should be able to send off each industry's index calculator on different threads.
So, the first thing I needed to do was download the F# dlls so that it would work in Visual Studio 2008. I found the downloads I needed by on Microsoft's web site - The Microsoft F#, May 2009 Community Technology Preview. I downloaded the msi file and ran the installer. Everything went fine.
I then created a new project. F# now shows up in the list of project types. So I made that selection and clicked on an F# application. I gave it a name ConApp1

I click on OK and Visual Studio creates my project.
The first thing I do, once the project is created, is to save the project. I click on Save project.
I then get this dialog box:
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The defaults seem fine to me, so I click Save.
I then get this nasty error:

I have no idea what this is all about.
I try to save it a couple more times and realize I am screwed. What to do?
After sleuthing around a bit, I discovered that when Visual Studio creates a project, it only creates a temporary project. You actually have to save it someplace before it becomes real. If you exit before saving, your project is wiped out. This is all well and good, but how do I save my project?
Simple, go to the temporary directory, copy the folder, and put it some somewhere I like.
The temporary folder is located (on my machine) at:
C:\Documents and Settings\bobl\Local Settings\Application Data\Temporary Projects\ConApp1
Once I've copied the folder to a normal location, I can just open an existing project in Visual Studio and things seem to work fine.
I'm sure MS will get this fixed by the time Visual Studio 2010 comes out. :-)