It's my understanding it's not so easy to do that kind of learning and experimentation on Windows.
Go to http://www.asp.net/get-started.
Although I would recommend going down the MVC route as asp.net forms are sucky. http://www.asp.net/mvc
I know there's an anti-MS tendency round here, but fast experimentation is just as easy with MS these days as it is with everyone else.
The only gripe I've got with MS these days is that they seemed obsessed with videos, which are irritating as you can't go at your own pace (i.e. faster) and it's a nightmare when you just want to find that way of doing x that you remember seeing in the video but not at which point.