At the moment, there is not much .NET specific stuff for Hadoop. You just follow the regular Hadoop tutorials. SQL Server connector allows you just to import input data and export results to a format that is easier to access for the remainder of your application.
You can run Hadoop on Windows. However, it requires Cygwin(a Unix-like environment and command-line interface for Microsoft Windows).
Basically, to use Hadoop you will need to learn Linux anyway.
