Easy!
Install UAE. Install Work Bench 3.1
Install the latest version of PFS.
Plug in your CF card into your PC, reboot UAE, then prepare, partition, and format the CF card using the PFS option.
Install CF Card into your Amiga and boot!
or
Create a Boot floppy, remove Fast File System from the "L" directory and put "PFS3ds" in there instead. Also copy over PFS' new Hard Drive Tools.
Install your CF card in to your Amiga, boot off the custom boot floppy, and prepare your card from there.
Keep in mind that you will want to read through the docs that came with PFS. It will tell you how to prepare the drive for PFS and how to set up the partitions and format them, all of which needs to be done with the new Hard Drive Tools that come with PFS.