I use pfSense in Hyper-V and it works great.
From memory:
*Give your physical server two NICs. One NIC will plug into your internet modem and the other NIC will plug into your physical LAN switch with all your computers.
*In Hyper-V, go to the Virtual Switch Manager. In there, create a virtual switch for the WAN and one for the LAN, and assign those to the two NICs (don't mix them up).
*On the WAN switch, make sure to clear the checkbox that says "Allow management operating system to share this network adapter"
*On the LAN switch, you can leave that checked.
*Add two NICs to the pfSense virtual machine, assigning one to the virtual WAN switch, and the other to the virtual LAN switch. It doesn't matter which one, but remember the MAC address of which one went where.
*Boot it up and install pfSense.
*In the pfSense command prompt, you follow the instructions to assign one of those virtual NICs to the pfSense's WAN interface and the other to pfSense's LAN interface (don't mix them up).
*Make sure that pfSense's WAN interface picked up a valid DHCP address from your ISP. Sometimes you have to call the ISP and tell them you changed your "router" to a new one.
*Make sure your client PCs are getting a valid DHCP address from pfSense (don't remember if DHCP is enabled by default or not)
That's about it for getting it to run. You should be able to log into pfSense web GUI to manage different settings and stuff, and your clients should be able to ping out. I probably left out some steps but this is definitely a general overview.