The first step in using your FPGA is to install the tools required to implement your designs-- these are collectively called "Electronic Design Automation" (EDA) tools, but you can just as easily think of them as the VHDL IDE and compiler.
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The Xilinx ISE Design Tools are available for download from http://www.xilinx.com/support/download/index.htm. Be warned-- it is a very, very big download. You want the ISE Design Suite package called "Full Installer for Windows" or "Full Installer for Linux"-- one of the options given when you run the installer is to install the "cut down" WebPack version.
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Xilinx supplies the Windows software in a 'UNIX' tar.gz file. On Windows you will need something like '7-Zip' to extract the installer software. It can be obtained from http://www.7-zip.org/download.html
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Part way through the installation process you will need to register with Xilinx for a license file. The software will help you acquire the license during the install. The installer is very good at walking you through this, so don’t fret over it.
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You will need the development board specific tools from the vendor to allow you to download designs to the board-- for the Papilio One you will need the Papilio Loader from http://papilio.cc/index.php?n=Papilio.Download and for the Basys2 you will need Adept 2 from http://www.digilentinc.com.
If you don’t have an FPGA development board, you will still be able to work your way through the modules, but it is not the same without seeing the design run in actual hardware.
Unpack and install all the software-- the downloading hurts far more than the installing! If working on Linux, search the web to find any missing dependencies. I have only used the Altera tools on Linux, and it was quite a challenge to get everything working correctly.
If you have a Basys2 board you can play with the preloaded self-test application that is loaded into your board-- the Papilio One is shipped "empty".