I agree with Lou,
get a copy of VS 2005 express, it has all you need to get going. Make use of MSDN and there are so many resources out there regarding VB.net
Dont be fooled by the 'basic' in vb.net it has all the abilities of C# just with more relaxed syntax. It is a great place to learn object orientated programming.
ASP.net also can use VB.net as well as C# so with a little more effort you can add asp.net to your bow.
If you wnat to learn SQL you can also download ms's free SQL server 2005 express it has a query analyser so you can practice your SQL

Good Luck
PS if u have had java or C++ experience go for C# its a serious java rip off!