OBJECTIVES: To describe the baseline demographic data, clinical characteristics and HIV-incidence rates of a cohort at high risk for HIV infection in South Africa as well as the challenges experienced in establishing and maintaining the cohort. METHODOLOGY/PRINCIPLE FINDINGS: Between August 2004 and May 2005 a cohort of HIV-uninfected women was established for the CAPRISA 002 Acute Infection Study, a natural history study of HIV-1 subtype C infection. Volunteers were identified through peer-outreach. The cohort was followed monthly to determine HIV infection rates and clinical presentation of early HIV infection. Risk reduction counselling and male and female condoms were provided. After screening 775 individuals, a cohort of 245 uninfected high-risk women was established. HIV-prevalence at screening was 59.6% (95% CI: 55.9% to 62.8%) posing a challenge in accruing HIV-uninfected women. The majority of women (78.8%) were self-identified as sex-workers with a median of 2 clients per day. Most women (95%) reported more than one casual sexual partner in the previous 3 months (excluding clients) and 58.8% reported condom use in their last sexual encounter. Based on laboratory testing, 62.0% had a sexually transmitted infection at baseline. During 390 person-years of follow-up, 28 infections occurred yielding seroincidence rate of 7.2 (95% CI: 4.5 to 9.8) per 100 person-years. Despite the high mobility of this sex worker cohort retention rate after 2 years was 86.1%. High co-morbidity created challenges for ancillary care provision, both in terms of human and financial resources. CONCLUSIONS/SIGNIFICANCE: Challenges experienced were high baseline HIV-prevalence, lower than anticipated HIV-incidence and difficulties retaining participants. Despite challenges, we have successfully accrued this cohort of HIV-uninfected women with favourable retention, enabling us to study the natural history of HIV-1 during acute HIV-infection. Our experiences provide lessons for others establishing similar cohorts, which will be key for advancing the vaccine and prevention research agenda in resource-constrained settings.