If you're just starting with .NET I recommend that you download VS2005.net express. It's the newest version of Visual Studio and it's free for download on the microsoftsite.
Here's a link with some tuts. (2005) and here's the official tour...
I don't have 2003 but this is what I found on the net
1) File->Create Blank Solution
2) Select Visual C++ Projects -> Win32 Console Project.
3) Enter a name for the project (let's say you call it TEST and put it in <directory of your choice>).
4) Click Application Settings and check the Empty Project box (leave 'Console
application' radio button selected).
5) Click Finish.