Go for Netbeans IDE. USing this you can develop windows application.
You download this version "netbeans-6.8-ml-windows.exe"
Using that you can also develop web application.
You can download netbeans anywhere for FREE. just google!!
and if you want Microsoft Visual studio for free, you can have it from Microsoft partners like NIIT if you are a student. Just show them your College ID card and ask them for Dreamsparks DVD to do a project. Check once about availability now with your NIIT friend.
It is also possible to download software from www.dreamspark.com but you need a key which i got with the dreamsparks DVD. MSDN library is also included in dvd.
Leaning?
[www.dotnetspider.com is good]
but you can follow these steps...
First go to youtube.com and search for videos with tags like "dot net tutorial"
After having intro about framework. Download this ebook and just learn the c# part
"BeginningASP.NET3.5inC#2008 SecondEdition.pdf"
Then formulate an idea to develop a small project. then when you start coding, whatever question pops in your mind(w.r.t this context) , just google it.... After a while , that person sitting in front of your monitor is called "A developer"
If you choose Netbeans follow same steps..its all about java(nothing much different, everything is Object oriented)