In Visual Studio 2008 with the F# CTP, the "add project" options only allow a console application or an F# library.
You can manually edit the project settings to change this, although I had some problems with the change being correctly saved. The most reliable method I found was editing the MSBuild project file directly and then reloading in Visual Studio. I just think that:
1) The project settings should save correctly
2) There is no reason not to allow Add New Project to include an option for F# Windows Application
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