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Visual Studio 2005 is too old for you. Start learning on 2010 and .NET 4. And get Express version from this location http://www.microsoft.com/express/
Answer taken from here
You can download the free Visual Studio Express Edition, and also access to the MSDN library is free. And there is also Sql Server Express edition which is also free.
Add to this all the great free online resources, like stackoverflow, asp.net, codeproject, blogs etc. and you are ready to go.
If you want to start programming with C#, C++, Visual Basic.NET, F# and pals, VS Express is the way to go obviously.
If what you need, however, is focusing on basic programming concepts like conditional execution, iteration and recursion, they might be overkill. You should instead try simpler languages like C or Python.
I'm not aware of what the definitive IDE for C and Python would be, but I make do with Eclipse for the former and a simple text editor with generic completion and the support of iPython for the latter.
For C++, use Dev-C++ from Bloodshed Software; super clean and easy to use. http://www.brothersoft.com/dev-c++-download-65296.html
For Python, just use the IDE they provide. Super clean and useful. http://www.python.org/download/
Objective C isn't particularly easy as a first language, but it's not that difficult either and it does have the advantage that programming for iPhone at the moment is "sexy" and "fun" and potentially commercially useful for you. Plus there are a bunch of educational videos on iTunes U (search for "Stanford" in iTunes).
XCode for iPhone development is free to download once you register at developer.apple.com