I don't mean this to sound offensive, but have you bothered to do much research?
There is a huge wealth of information, on this site alone, let alone on the far reaches of the internet.
Google is your best friend for learning some of the basics as is the Microsoft website.
But to help you out a bit I am providing this link:
http://msdn.microsoft.com/en-us/library/haa3afyz(v=vs.71).aspx[
^] (note the link is in vb.net because it is set to framework 1.1, change the framework at the top of the page to see c# examples)
This talks about an SQLDataReader which appears to be similar to the "Mysql_Fetch_array" in PHP. There is a detailed example of how to use it, and along with that there are links to other SQLClient components such as connections/commands which you will want to read up on.
I hope this helps you with your transition.
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Additional advice:
People on this site are more likely to give detail help when you have tried stuff yourself. If you do some research, knock up some code and then come back with specific errors/ sections where you are stuck the advice provided on this site by people (I find) is invaluable. But people are generally not prepared to write whole solutions for people when it looks like they aren't trying themselves.