Found a bunch of great learning tools for Microsoft .NET using DirectX over at MSDN. This is a great resource, and Code is provided while he explains it, and also as a download, so you can save on the typing. Not sure if you have installed what you need to get started? Not to worry, in every article he provides links to download the Free software you will need to continue the tutorials and learn.
A quote from the site

This series as aimed at beginning programmers who are interested in developing a game for their own use with the .NET Framework and DirectX. The goal of this series is to have fun creating a game and learn game development and DirectX along the way. Game programming and DirectX have their own terms and definitions that can be difficult to understand, but after awhile, you’ll crack the code and be able to explore a new world of possibilities. I will keep things as straightforward as possible and decode terms as they appear. Another part of the learning curve comes from the math you’ll need to deal with DirectX. I am going to point out some resources along the way that will help you brush up on, or learn, the math skills you’ll need to keep going in DirectX.

In this series, we are going to build a simple game to illustrate the various components of a commercial game. We will cover how to create great looking graphics in 3D, how to handle user input, how to add sound to a game, how to create computer opponents using Artificial Intelligence, and how to model real-world physics. In addition we are going to cover how to make your game playable over the network and how to optimize your game for performance. Along the way, I will show you how to apply principles of object-oriented development and, as well, I will share some of my experience in creating well-organized and elegant code.

1. Beginning Game Development Part 1 - Introduction
2. Beginning Game Development Part II - Introduction to DirectX
3. Beginning Game Development: Part III - DirectX II
4. Beginning Game Development: Part IV - DirectInput
5. Beginning Game Development: Part V - Adding Units
6. Beginning Game Development: Part VI - Lights, Materials and Terrain
7. Beginning Game Development: Part VII –Terrain and Collision Detection
8. Beginning Game Development: Part VIII - DirectSound
9. Beginning Game Development Part IX –Direct Sound Part II
10. Beginning Game Development Part IX –Direct Sound Part III