That makes sense when one is used to the Visual Studio organization of solutions and projects, with some main method somewhere being the entry point, unless it's a WCF service or somesuch that gets run via a service manager.

I only used F# at its command line, fsi.exe, to give me commandline access to .NET for exploration, testing, and munging data. Over time, I built up quite a library of usable functions that I'd have the fsi.exe program pre-load when I kicked it off, leaving me at the prompt with all .NET namespaces and my code ready and accessible.

Once you get access to your database's data, it's easy to write queries against it and then play with the data. I could then port the F# processing bits that worked into my C# projects as necessary, but it was far easier to do it that way than to write the logic deep within complex multi-project solution files, where the various classes are spread throughout the projects' files.

I also just really enjoyed using F#.