You can use VB.NET or C# to write procedural code and create user-defined types and aggregates in SQL Server.

Well, optimization of SQL in general and VB/SQL (ADO.NET) apps in particular is a huge topic. There is quite a bit on MSDN if you search for it, including some information aimed directly at VB/C# ...

Learn how to use the SELECT, WHERE, and ORDER BY clauses to write a basic SQL query that retrieves data from a database table.