The first thing you'll want to do is to set up a domain. If you don't own a domain yet, I recommend www.dyndns.com, mostly because this is the company you will be dealing with in this tutorial in terms of self hosting--so why not go through the same company for all your needs? Also, although I didn't get my domain via dyndns.com, based on what I've read they have some nice tools available to manage your domain. If you don't want to go through dyndns.org for either purchasing a domain and/or self-hosting your site, then feel free to use other services--the concepts in this tutorial will still apply.
Getting started with WCF is not difficult at all, but like most new technologies it might not be obvious how one goes about experimenting with it for the first time. Some of the following may change after I write this, since I'm sure there will be many additions made that make using WCF as easy as possible. Here are what I believe to be the steps required to get up and running on your machine, assuming you have Visual Studio 2005 installed: