What are 'closures' in .NET?

If you are interested in seeing how C# implements Closure read "I know the answer (its 42) blog"

The compiler generates a class in the background to encapsulate the anoymous method and the variable j

[CompilerGenerated]
private sealed class <>c__DisplayClass2
{
    public <>c__DisplayClass2();
    public void <fillFunc>b__0()
    {
       Console.Write("{0} ", this.j);
    }
    public int j;
}

for the function:

static void fillFunc(int count) {
    for (int i = 0; i < count; i++)
    {
        int j = i;
        funcArr[i] = delegate()
                     {
                         Console.Write("{0} ", j);
                     };
    } 
}

Turning it into:

private static void fillFunc(int count)
{
    for (int i = 0; i < count; i++)
    {
        Program.<>c__DisplayClass1 class1 = new Program.<>c__DisplayClass1();
        class1.j = i;
        Program.funcArr[i] = new Func(class1.<fillFunc>b__0);
    }
}