You can download Visual Studio Express for free and the documentation is available on the MSDN site. Another great tool is Reflector which is also free. So if you're looking into .NET on your own, you don't have to spend any money.
Another great tool (and free as well) for digging into the details of .NET is Debugging Tools for Windows (WinDbg + SoS.dll will let you look at loads of details not accessible from Visual Studio).
