Your question turned to be a question about a plan for learning programming, which is a very very long plan. I will give you here the beginning tips from my personal view:
1- Learning how to use the IDE (Visual Studio) is not the main issue, learning the language (C#) and the technology (.NET) is more important.
2- More important than learning a programming language, is learning How to program?, that is: you should learn Algorithms, data structures, software engineering, database design, ...etc. besides learning the programming language.
3- If you are a beginner, VS Express will fulfill most of your needs, as you upgrade your skills, you will find it has some limitations. You can find a comparison between different Visual Studio Editions here.
4- Windows Presentation Foundation (WPF) is the new Microsoft's way for building Cool Desktop applications, but you still need the traditional WinForms.
5- The world is going Web, then you have to check the ASP.NET paths (ASP.NET, ASP.NET Ajax, ASP.NET MVC). The Web counterpart of WPF is SilverLight (which was formerly a part of the WPF itself).
6- As per VS Express FAQ:
The ability to target a version of the
.NET Framework other than 3.5 (i.e.
multi-targeting) is included in all
the Visual Studio Express Edition
products. Multi-targeting is available
under the Project Properties menu
which can be selected by going to
Project-> Properties.