Download Visual C++ 2008 Express Edition and run the setup. This won't be a quick job, but shouldn't need much interaction. Make sure you have plenty of disc space for the temporary installation files.
Once it has extracted all the files it will begin the install process.
After the install comes the configuration.
Finally several cups of tea later you are greeted with the VC welcome screen.
The next steps for xll development are to install the Excel xll SDK - this is available from the Microsoft MSDN site. Use your favourite search engine to find it (MSDN address are not very stable so we have not included a link here).
Instructions for installing the SDK and setting Visual studio up to work with it are here.