If you bought the Visual Studio product, you should have gotten online documentation - just press F1.
If you're running only the framework (compiling with CSC.EXE), then you'll need to go to msdn.microsoft.com and use the internet-based help.
In either case, the documentation is very good - it sometimes takes people a while to figure out how it's organized, but once they "get it", they generally like it.
I usually search in the index for the class name. If I'm not sure what the class is called, I'll start at the namespace level and work my way down. The sub-section that's usually called "overview" describes the class. You then go to "all members" to see the details about the properties/methods, etc for the class. Sometimes you need to drill down one more level if there's a bunch of overrides for a method to see the details for a particular override.
Chip H.