You have a couple of C# options with the SDK, depending on what you want to do.
1. You can write Console applications that interact with CRM or perform integrations with other systems. There are several example apps in the SDK that show how to do this, or do a search and you will see some.
2. You can write Plugins to add to your CRM instance that will execute code when specific messages occur. If you are familar with SQL, Plugins can be best equated to SQL Triggers.
If you use Visual Studio, you can add the CRM developers toolkit to it, which will connect to your CRM instance and allow you to auto-generate some plugin code.
I hope this helps!