We'll assume you're doing this in Visual Studio 2015 (VS 2015 Community, in my case). Create an empty Console project in VS. In Project | Properties change the Output Type to Windows Application.
Next, use NuGet to add FsXaml.Wpf to the project; this package was created by the estimable Reed Copsey, Jr., and it greatly simplifies using WPF from F#. On installation, it will add a number of other WPF assemblies, so you will not have to. There are other similar packages to FsXaml, but one of my goals was to keep the number of tools as small as possible in order to make the overall project as simple and maintaiable as possible.
In addition, add UIAutomationTypes as a reference; it comes as part of .NET.