If you have not yet, check Chocolatey out. It looks very useful. This little utility lets you install software into PATH on Windows by one-liner commands from PowerShell. It is a poor-man's package manager for Windows.

In particular, it automatically knows about NuGet packages. Packages with executable files under "tools" get aliased into C:\Chocolatey\Bin or similar, and the tools end up on your PATH.

For example, to get started with FAKE - the F# Make you can do:

cinst -pre FAKE
mkdir my-project
cd my-project
fake boot init one # initializes the project, creates build.fsx
./build.fsx # edit your build script in VS
fake # build