Main applications used for developing in C# and connecting databases are Visual studios (as nMaillet said) to write your C# apps and SQL server for your databases. I've only ever used 2005 onwards for both IDE's and prefer Visual studios 2010 version and 2008 version of SQL server.
If you know C++ then learning C# should be a breeze, theres a book called "Head First C#" that I purchased which is good but I didnt use much.
Good luck (you won't need it though).