In case you don’t want to go VM route and rather prefer local environment, you may download and install Microsoft’s HDInsight from here.
You would download and install Web Platform Installer 4.5. It downloads a small executable. Once done, run the installer. The whole installation process is pretty straightforward, well-guided and self-explanatory.
In my case, I tried to download and install for this blog (I already had it installed). I figured out that I had missed this step and my earlier blogs looked little disconnected (VM Version to .net programming).
Note: I have been playing with local installation of HDInsight rather than VM Player version of HortonWorks. This way, I don’t need to push Visual Studio etc. to VM player instance. Going forward, I would stick to this mode.