Anyone use SharePoint and Visual Studio 2008 pro?

I have a SharePoint server and Visual Studio 2008 pro and am attempting to develop the former with the latter. It seems it is possible, but everything I find requires me to have VS on the server itself.

Does anyone know how to get this working? It seems rather odd to me that they would require you to develop on the server itself.

Any help would be appreciated.

Note*: I know basically nothing about Sharepoint. I go on training for it this week, but I was hoping to get this connection set up before getting there so I could do some examples on my own after the sessions.