When you install the Release Manager web application the files to create the Northwind Sample project are also installed. If you choose to install it, it will be a fully functioning project in you Release Manager application that you can build. The sample uses CruiseControl.NET and MSBuild to automate the builds and optionally you can create an empty SQL Server database to be used by the sample.
You probably have some of these already installed.
Don't forget to set the TortoiseSVN setting "Use _svn instead of .svn"
Optional: Visual Studio 2005 SP1 or Greater