Foggy's 2*20 session is a good one - though I generally do the 20 minute blocks as hard as I can sustain (if I'm a bit tired I might set a lower target) using power rather than heart rate - not sure how that matches up on intensity to Foggy's 85-90% mhr.
One thing to beware of if you do use heart rate is the bpm will probably drift up during the 20 minute blocks - so if you keep heart rate constant you are actually gradually slacking off - try and use rear wheel speed or power if you can or else allow for HR drifting up by upping the level maybe 2 beats every 5 minutes. I would build up to that though - either by doing a shorter session or else a lower intensity - you've got all winter.
A fan is pretty much essential for indoor - I train in the garage at night in winter and it's still easier with a fan. As above don't skimp protecting the bike from sweat - it will destroy your headset and anything else. I just use an mp3 player - I'm working too hard to watch a DVD - and stick a mirror in front or to the side (I've only got one mirror !) just to check position sometimes.
Big tips are keep it simple and don't try for too much too soon - as you get used to it you'll be able to go deeper.
ps - little picture which suggest Foggy is spot on with his heart rate range http://i220.photobucket.com/albums/dd226/ASimmons/HRResponseAPITTI.png
