I\'m really not well versed in these things, I just want to setup an svn server locally on my computer. Also I\'d like to set it up and integrate it directly into Visual Studio
I would second Visual SVN server which is free and will have you up and running in a few minutes. It hooks up SVN over HTTP however and for a local Subversion installation that might not be necesary.
If you'd rather run just setup Subversion 'manualy' the following is a walk through of the process with focus on Visual Studio usage: http://www.west-wind.com/presentations/subversion/