I've always found the sample distributed with compile was engough to get me going.
It is in:samples\fsharp\Parsing
Oh yeah, I did a blog post about parsing not so long ago, but there isn't yet a huge amount of explanation. I intend to get round to add more detail at some point:
http://strangelights.com/blog/archive/2006/05/11/1302.aspx
The book OCaml for Scientists describes the use of lex and yacc in OCaml and the examples are F# compatible.
The next F#.NET Journal article describes the use of fslex and fsyacc specifically, working through a calculator example.
Has any-one managed to get one of the other .Net lexers to interface with fsyacc ?
I'm thinking especially of ( ???) which has UniCode support.
Regards, Mark.