Well, the "official" tip is to use modules and other add-ins (HTTP Handlers/Modules, providers, etc) to alter the behavior of DNN, while leaving the core code alone. There are very few scenarios where you would need to alter the DNN core. The main motivation behind this is that you want to be able to upgrade the DNN core when new versions come out (especially security updates), and when that happens you'll have to reapply all of the changes you've made (meaning you'll have to keep thorough track of all of your changes in the first place).
That said, it is occasionally easier to deal with creating a quick fix and deal with the upgrade headache.
If you're able to get the solution to build, but it just can't run, the best tip that I can give is that, for some reason, DNN doesn't run under Medium Trust on Vista/IIS7. We think it has something to do with database connections, but haven't taken the time (here at Engage, I don't know if the code folks have any more information) to fully track the issue down. So, if you comment out the line in the web.config that sets the trust level to Medium, you'll be a step closer to getting the site to run.
Other than that, there really aren't a lot of great tips on how to set up and edit the core solution, since it's strongly discouraged. However, since you're in the DNN solution, it should be easier to debug and troubleshoot whatever error you run across.
Hope that help,