Can you claify your questions please? You've started a question in the thread title and finished it in the post itself and it's not very clear.
Also, Is there a different name for classes in C# when it comes to Java?
Yes objects in both Java and C# will have a class behind them but they may have different names (e.g. GridView is the Java version of C# DataGridView). Java may also have some object that C# doesn't and vice versa.
is an object in Java and a method in C# similar?
No, object in Java are the same as objects in C# in that they are an object (e.g. a textBox object represents the textBox on your screen and defines the properties and functionality for the textBox). Objects in both Java and C# contain methods which provide the functionality for that object.
Is there a way to see the codes of classes like "messagebox", using Visual Studio 2010?
It's usually hiden so that it can't be changed but it's properties can be set and it's built in methods can be used.
Best thing to do is to get a book about the fundamentals of object oriented programming, I can't remember the name of the book I used but I'll post it for you if I can dig it out. Also have a look at C-Sharp station, it has a some good tutorials that you might find useful...