Well, don't. The Microsoft.Web.DistributedCache .dll requires .NET 4.0, which doesn't work with SharePoint 2010. The fact that 4.0 is required for Microsoft.Web.DistributedCache is nicely buried in this thread, not in MSDN where it would have been, you know, helpful.
Session State running in SQLServer mode works fine still, though.
Let me know if I'm wrong, and also if anyone's tried the Table Storage provider / whether that has any dependencies on .Net 4.0!