They created Visual J++ because Java scared them and also because Java didn't work very well with Windows. Sun Microsystems sued them and Microsoft had to deprecate Visual J++ and its runtime.

They created C# because they wanted a native language for their .NET runtime that integrated seamlessly with Windows. It was obvious that cross platform runtimes were going to be the future and Microsoft couldn't depend on an outside company to drive the technology platform they would be relying on.