Once you have configured your online preview, then you can proceed to connect to it using Visual Studio 2010.
In order to get Live ID authentication working and such, there is an update you need to apply. This is something that can be accessed through the Administration page, and then clicking on download software.

Clicking on that link will take you to the Visual Studio ALM + Team Foundation Server Blog. From this page, you will be able to download the needed component to connect and authenticate to the TFS Preview. The direct link to that page is as follows:
http://blogs.msdn.com/b/visualstudioalm/archive/2011/09/14/tfs-preview-downloads.aspx
The update requires you have Service Pack 1 for VS 2010 installed. If you are going to be using Microsoft Test Manager, the same applies. The links also include downloads for Eclipse components, Build server functionality and download of the Visual Studio 11 Developer Preview.

Upon download of the software update, you can launch the installation.

Accept the license terms

Get the installation going

Once it completes, click finish
