there are many different source control providers including TFS, Subversion (SVN), Perforce, CVS and Visual Source Safe to name but a few. It is also one of those areas that people tend to get semi-religous on, so I'll tread carefully!
I think most people would agree that Visual Source Safe is not the way to. It is fairly simple as a source control system but would do little to teach you about source control in general. TFS, SVN and Perforce tend to get pretty good feedback from their users.
Out of these, SVN is the only one that is free, so if you are planning to do this as a learning exercise, I'd be inclined to start there [actually I believe you can get a free 2 user license for Perforce too, but I'm not 100% sure on that). You can learn all the basics with this, as well as more advanced areas such as branching and merging.
If you do give it a go, I recommend you download SVN itself, and the TortoiseSVN client for Windows Explorer (I'm assuming you are on Windows here as you mention Visual Studio). You may also want to look at source control integration into Visual Studio, in which case I use VisualSVN (there is a free trial), but there is another popular one whose name eludes me (someone will hopefully add it as a comment).
Additionally there is a great, free, e-book for SVN, available (here)
Overall - to answer your specific questions:
Should I use TFS or SVN?
SVN
What program(s) do I need to install?
SVN itself (the server) and TortoiseSVN
How do I implement them in Visual
Studio?
Use VisualSVN or another SVN for Visual Studio client. You don't need this to learn source control, but it is well worth trying it out from in the IDE.
Is it a good habit to get into for my
personal programming or would you
disagree?
Yes, definitely!
Good luck, and hope you enjoy getting into source control.
