Call me backwards, but I usually go and buy the whatever-it-is-I'm-learning Black Book (which always seem to be excellent) as well as the Wrox Professional Series (which are also frequently top notch) and then I try and figure out a project to do...
The hardest thing to do is learn a programming language without any goals in mind.
Once I've got a goal in mind, I find it easier to build a framework for how I want my application to look and feel and then I start trawling the internet looking for ideas on how to achieve this. When I've got my head wrapped around the areas of value and objects/classes/methods that pertain to my project, then I dive into my books - as I now know (or at least have a vague idea of) what I'm looking for, whereas, before I had no clue about the terminology or classes so my books were mostly useless...
It's like the sentiment, "what use is a dictionary if you don't know how to spell the word?" It only becomes useful if you have some vague idea of the spelling... much the same as programming languages. Unless you have some understanding of what's going on, I find that the books are largely meaningless, and the only way to give them some meaning is to figure out the terminology and concepts and how they apply to real life software...
That method doesn't work for everyone - it works for me, maybe it'll work for you. It's like learning on the job - I always learn something faster when I have a goal in mind than if I've got no real direction. It also sticks in my head better... unless you've got eidetic memory and can recall those boring and meaningless lessons that you couldn't see a way of applying in real life when you learned them.
I also find this forum a great way of learning new bits and pieces... I answer the questions I understand; and those that I don't understand, I either try and figure out the answer to, or I try and understand the answer that was provided. It's a great way of learning areas of the CLR that I would rarely (if ever) otherwise touch.
You should Refer MSDN as well as Wrox publications for .net and for asp.net asp.net unleased is best book....
Don't hold your breath on the MSDN website - it takes most people a little while to understand the examples and how to apply them in your code. Also, since they've re-organized the site, it's a pain in the a$$ that a lot of the links are outdated. In time, they'll be updated to the correct locations but I've found that it's easier to find the answers elsewhere for the last little while.
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