We try to install the minimal amount of software on our slaves, and in the past we've relied on the .NET Framework and SDK itself to provide .NET build tools such as MSBuild and the C# compiler. That way we avoid installing the large Visual Studio package itself.
For C#, you can install the Windows/.NET platform SDK and get the compiler and libraries. The F# 2.0 compiler could be found as a standalone "CTP" installer that only installed the compiler directory.
But for a long time, I couldn't find the F# 3.0 compiler that comes with Visual Studio 2012 as a separate download anywhere.
Well, they camoflauged it as: F# Tools for Visual Studio Express 2012 for Web
This seems to be able to install the F# compiler and runtime binaries in the right places without Visual Studio.
Another option is to build the F# project from sources available at github.
But we preferred the Microsoft/official compiler build.