This is a very quick and simple guide to get up and running with
Mercurial, its actually as much for my own reference as much as
anyone else as I am not overly familiar with source control systems
(And desperately trying to learn this one thoroughly).
Firstly to get up and running with Mercurial you need to
download and install TortoiseHG, this will install both the
TortoiseHG and Mercurial locally
http://tortoisehg.bitbucket.org/
Next get the Visual HG visual studio extension so you can get
the nice visual aids/menus in VS.
http://visualhg.codeplex.com/
Once you have both of the above installed, you can set up
Mercurial for your project. Go to the very top level folder
of your project (The folder that holds your .sln file), and right
click on the folder. You should now see in the context menu
TortoiseHG > Create Repository Here

Now Right Click again on the folder and go to Tortoise HG >
Global Settings

Leave all settings unless you know what you are doing, the only
thing you need to add is your username. Under 'Commit' add your
username (i.e. 'Your Name <your@email.com>')
then click apply & ok

Now open up your project folder, and in the root you should have
your ignore file (.hgignore). Open this up in notepad or similar,
and then go to
https://gist.github.com/314082
Copy the ignore settings (hgignore.txt section) and paste into
the .hgignore and save it and close it (They are shown below for
ease of speed).
# Ignore file for Visual Studio 2008
# use glob syntax
syntax: glob
# Ignore Visual Studio 2008 files
*.obj
*.exe
*.pdb
*.user
*.aps
*.pch
*.vspscc
*_i.c
*_p.c
*.ncb
*.suo
*.tlb
*.tlh
*.bak
*.cache
*.ilk
*.log
*.lib
*.sbr
*.scc
[Bb]in
[Db]ebug*/
obj/
[Rr]elease*/
_ReSharper*/
[Tt]est[Rr]esult*
[Bb]uild[Ll]og.*
*.[Pp]ublish.xml
Now go back to the root folder, right click and select 'HG
Commit' to do the first commit.

Check all the files by clicking to top checkbox, and type
'Initial Load' into the textarea (See below) and then click
'Commit' (Then click 'Yes' as you need to add all files
before commit)

That's it all done for setting up the local repository, now we
just need to make Visual Studio know we are using TortoiseHG and we
can get the VisualHG icons and context menus. Open up the
project you have just applied the repository too in Visual
Studio.
Once open in the top menu's go to Tools > Source Control >
Plugin Selection > select 'VisualHG' (See below)

That's it, you should now have all the context menus, icons and
options available to you to work with the newly created Mercurial
Repository.


I learnt this from watching the Mercural series on TekPub, if you haven't bought a
subscription to TekPub then I
highly recommend it. The videos are excellent quality and
there is a very broad amount of content, not just Mercurial/.Net
based videos.