Setup an SVN Server?
Install VisualSVN Server. The server part is free. You can also just use any SVN tool to just create local repositories on your file system if you like. My favorite client side tool is TortoiseSVN.
I can strongly recommend VisualSVN. It's very easy to setup, configure and use.
I've installed it recently and have found it utterly pain-free. SVN client-wise, I'd recommend TortoiseSVN. It integrates directly with Explorer and is, again, easy to use.
If you're working with Visual Studio, AnkhSVN is a great client that integrates into VS and doesn't seem to have any problem with being used side-by-side with TortoiseSVN.
I use VisualSVN on my Windows 2008 server and it works great. I then use TortoiseSVN on my client machines. The installation is painless and you should be up and running in no time.