stdafx.h is an auto-generated file used to make precompiled headers. If you just leave it intact and don't do anything with it, it will never bother you. Or you can create a blank project, or set the project properties to not use precompiled headers.

C# and DirectX work very well together and you get to ignore all that ugly COM syntax...using the newer Managed DirectX API. I suggest you check it out.

I personally love .NET, "stdafx" simply said, holds your header files. So if your getting an error there your most likely not including the right header files in your program. Go to file->open->stdafx.h ( i believe ) and simply add your header files there. VS 2005 beta is a little different then .NET 2003 I believe it doesnt even #include <iostream> but anyways, get some more practice with it and you learn it's a great IDE! Good Luck!