If you have not yet, check Chocolatey out. It looks very useful. This little utility lets you install software into PATH on Windows by one-liner commands from PowerShell. It is a poor-man's package manager for Windows.
In particular, it automatically knows about NuGet packages. Packages with executable files under "tools" get aliased into
C:\Chocolatey\Bin or similar, and the tools end up on your PATH.
For example, to get started with FAKE - the F# Make you can do:
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cinst -pre FAKE mkdir my-project cd my-project fake boot init one # initializes the project, creates build.fsx ./build.fsx # edit your build script in VS fake # build