You guessed right! Web applications are vastly different from rich client Windows applications. More than anything they require a change in thinking.
The most basic and primary difference arises from the fact that the "Web is stateless". IMO, the second most important difference is that web applications are rendered on the user's browser and are therefore the level of interactivity you can provide is inherently limited by the browser's capabilities.
My suggestion would be start slowly and accustom yourself with the ASP.NET page lifecycle, the code-behind and code-beside models of creating webforms, understanding how ASP.NET compiles and executes pages on the server, state management, client script features (such as Javascript), etc.
Get a good beginner level book on ASP.NET and don't forget to check out all the fabulous videos on the ASP.NET site.
