See the CodeSnippets for some examples of programming with lists.
A noob comments...this works, but may not be idomatic F#:
let car = List.hd;;
let cdr = List.tl;;
let cons x y = x :: y;;
let tlist = cons 1 (cons 2 (cons 3 []));;
printfn "car=%d & cdr=%A" (car tlist) (cdr tlist);;