You can save some time and disk space by installing only the minimal components. When the installer shows you the options, un-select 'Documentation', 'Samples' and 'Visual C++ Compilers'.
When opening one of the example projects you will be prompted to 'Upgrade the project'. This is because the examples were made with Visual Studio 2008. This is normal and you can ignore any warnings from this.
When Compiling for the first time you may get the error:
fatal error RC1015: cannot open include file 'afxres.h'.
This file is normally only in the commercial version of C++. You also need winres.h, get them here...
Extract the two files to C:\Program Files\Microsoft Visual Studio 10.0\VC\include