I am tempted to suggest you forget C and move straight to C# as it is closer to some of the things you probably learned in VB. Charles Petzold has produced
this excellent primer[
^] to get you started. If you need a complete build system then get a copy of
Microsoft Visual C# Express[
^] which includes some easy to create starter applications. Further learning materials can be found
here on MSDN[
^] and of course in the CodeProject articles.
As to your question "what and why is build?", this is just the process of turning a human readable set of program language statements into a set of binary code instructions that a computer can execute.