Getting setup and understanding WF Foundation is confusing and annoying. Knowing where to go and what to download what to install what order it's annoying to say the least, if you have a new computer and visual studio 2008 then you won't have any problems, but if your like me then you have visual studio 2005 and windows XP.
--- Installing WF
Foundation ---
-- End Installing WF
Foundation ---
Once you have the above installed you'll need to setup your SQL database.
Install the workflow
persistence for SQL persistence tracking
C:\WINDOWS\Microsoft.NET\Framework\v3.0\Windows Workflow
Foundation\SQL\EN
Tracking_Schema.sql
Tracking_Logic.sql
Install the aspnet
persistence provider
C:\WINDOWS\Microsoft.NET\Framework\v3.0\Windows Workflow
Foundation\SQL\EN
SqlPersistenceService_Schema.sql
SqlPersistenceService_Logic.sql
Install the aspnet
membership provider (You don't need this but it's a good pattern to have if you don't have your own).
C:\WINDOWS\Microsoft.NET\Framework\v2.0.50727\aspnet_regsql.exe