It used to be that programs needed DLL files - these are basically subroutines (smaller pieces of code designed to perform a certain function) and programs could call the routine and it would run. It allows for some consistency while allowing the actual exe to be smaller.
Now everything seems to be web-based and driven by XML. The .NET frameworks allow developers to use a standard set of tools as a starting point for their applications.
Essentially it should allow you to create code faster while following Microsoft's standards for visual display, device access, etc
http://www.microsoft.com/net/