You have two options for building managed .NET "stuff" for AutoCAD. The first is to create an EXE, or stand-alone application. This sends instructions to a running session of AutoCAD. Since you have one application telling another what to do, this is slow and has some limitations so is considered "second best". The second method is to create a DLL that is loaded into a running session of AutoCAD, either through a call to the NETLOAD command or loaded on demand using a registry switch. This is the preferred method, since it is being run by AutoCAD (instead of the other way around) it is faster and has more options of getting things done.
I suggest getting started using one of the various "Getting Started" guides available online. Try plugging "getting started with AutoCAD .net" into a search engine.
Start with some of our most frequented solutions or visit the Installation and Licensing Forum to get help installing your software.