I code mods in C#, so I will explain you how to start but assuming you already know C# or VB.
Start VS (I use Visual C# it's free) and start a new project of type 'Class Library' (so that the output will be a .dll rather than an .exe). VS should give you a lot of things already done. Now you need to add a reference to Scripthook.dll Go to Project -> Add Reference, and search for the scripthook.dll, set this reference not to be copied to the output directory. In project properties change the name of th build assembly to MyProject.net, and change the output directory to your gta scripts folder.
Hope it helps.