The short explaintion of a more efficient version:
When finding prime numbers, you should only test 2 and 3 to the square root of the number in increments of 2 (eg odd numbers), even if you arent going to use a list of generated prime numbers to reduce the time further.
int number;
Console.Write("Enter a number: ");
number = int.Parse(Console.ReadLine());
int ctr = 2;
int sq = (int)Math.Sqrt(number);
while(ctr < sq)
{
if(number % ctr == 0)
break;
if (ctr==2) { ctr++; } else {ctr+=2;}
}
if(ctr == sq)
Console.WriteLine("Prime");
else
Console.WriteLine("Not Prime as divides by "+ctr.ToString());
Console.ReadKey();