Microsoft offers lots of express editions of Visual Studio and SQL Server that are free of charge and may even be used commercially. In programs like DreamSpark, students can download e.g. Visual Studio 2010 Professional (full edition!) for free, so it is not said that you need to pay hundreds of thousands to develop Windows applications.
Other IDEs like SharpDevelop are available for free, too, but they are not nearly as terrific as Visual Studio. However, even when using the express editions, one can be very productive.
The MSDN library is free of charge, too. I cannot say whether the Telerik controls justify their costs as I have never felt the need to use them.