Have a look at the SQLBits website for Justin Langford's presentation on HDInsight. Again, its very easy to install this on a Windows box and get started. The idea is that you have a local instance even though it is just one node. It's good enough to try the mechanical bits and bobs even if you haven't got the benefit of the full map-reduce.
Hi David, I attended Justin's talk at SQLBits, don't know if you were also there in person (a good introduction I thought).
I had a quick word with him at the end and asked if there were any good walkthroughs or practical exercises for HDInsight newbies and he recommended this by Cindy Gross: http://blogs.msdn.com/b/cindygross/archive/2013/01/31/mash-up-hive-sql-server-data-in-powerpivot-amp-power-view-hurricane-sandy-2012.aspx
I haven't had a chance to work through it yet but may well do soon, like yourself I've recently got a Linux installation up and running (Fedora) but suspect that the MS version will be a gentler learning curve to start off with.