I'm not going to be able to help out with your MonoDevelop question and XSP2 since I haven't used Mono, but I can help with some of your other questions.
When you have an asp.net app, what are the executable scripts (ie. .php for PHP)?
ASP.NET pages have a .aspx extension (although this is configurable). When a page is first requested the ASP.NET run-time parses an ASPX file and compiles a class from it. This compiled class is executed within the ASP.NET application run-time.
.cs files are often associated with a .aspx file by development environments like Visual Studio (this isn't a requirement though you can have .aspx files independent of .cs files). The .cs file defines a class and the class compiled from the .aspx file inherits (or is a sub-type of) this class.
What would be the best way to set up my development box for asp.net development?
Again, I don't know about Mono, so I'll give my recommendation based on Microsoft tools. I'd recommend Visual Web Developer 2008 Express. It's available for free has a lot of the great features of the full-blown product and uses the built-in web server which makes configuring your environment less of a hassle.
I'd also recommend the Web Platform Installer. This will help download and install Visual Web Developer 2008 Express and get you up and running quicklu and easily with other things like the .NET Framework, IIS, SQL Server Express and even open source web applications. It's nice an easy to use.
Any general "non-newbieistic" help source apart from MSDN, on getting started with asp.net?
StackOverflow? :-)
If you're new to .NET I would recommend getting a good grasp on the language first and then ASP.NET specific stuff.
Best .NET books (in my opinion):
ASP.NET resources: