Had the same problem when i started with Farseer a while ago. So basically what you have to do is this:
1. After unzipping, copy the "Farseer Physics 2.x XNA" folder somewhere next to your project.
2. Within Visual Studio right-click on your solution and select 'Add'->'Existing Project...' and select the FarseerPhysicsXNA.csproj.
3. Next right-click on your project and select 'Add Reference...', go to the 'Projects' tab and select FarseerPhysicsXNA and your done.
4. Optionally from the "DemoBaseXNA" folder you might want to copy the "DrawingSystem" folder and "PhysicsSimulatorView.cs" to your "Farseer Physics 2.x XNA" folder. That enables you to use the Physics Simulator Debug
This works for Farseer 2.1.3, XNA 3.1 and any version of Visual Studio 2008. Though it should do fine for Farseer 3.x, too. Hope that helps getting you started. Actually using Farseer from there is just a breeze :)