1) download the hudson.war file, and follow the instructions on installing it as a service under Windows. This means that you need to have java installed on your machine... but it works easily
2) Under Manage Hudson -> Configure, be sure to tell Hudson where your JDK and ANT files are. Note: You can have it automatically install them (This was a critical step that I missed). I found that while it downloaded and tried to install both the JDK and ANT, that it never succeed, so I had to manually install them and point Hudson to the JAVA_HOME and ANT_HOME paths. Also note, that setting the PATH variables inside of windows didn't seem to have that much of an effect.
3) For some reason I found that there is a timer on subversion... that if I committed a file, then immediately went to Hudson and started a build, that it wouldn't have the updated file. If I waited about 30 seconds, it would have the latest.
4) If you are building a Flex library project, you will need to explicitly enumerate all of the classes that you want to include. Here is a snippet that will have ANT do that for you, including removing the .as and the basedir references:
Thanks for all your help google!