Start off by picking one of the .Net languages to learn. I would personally go for C# as being the mainstay of .Net development. Then just go and code something, like problems from Project Euler.
Once you’ve mastered the basics of the language (like the data types, language constructs and so forth) then it is an appropriate time to start learning one or more of the .Net frameworks. Here you just pick whatever you’re interested in, be it WPF for desktop development, ASP.NET/ASP.NET MVC for Web development, WCF, etc.
Language first, libraries second.