Download the 3Mb file. This is a small download but it is the first part of a much larger set of files so don't attempt this unless you have a DSL or faster Internet connection.
The total download is well over 300Mb with the .NET 3.5 framework and MSDN or 30Mb for just the C# Part. You might want to do this early in the morning for faster download speed. As you can see from the picture, you get to choose whether you want to submit information to Microsoft. Apparently Microsoft receives 50GB of data everyday! (Crash data, customer feedback etc).
On the next page : Start the Download of Visual C# 2008 Express