Ok, so the title is a little misleading.
Look here from the msdn.
Anybody looking to cheaply get into programming and for some reason wanting to go with a m$ product should look as they have c++, c#, J#, Web development stuff should look into Visual Studio Express, which is free through November 2006.
Though eventually they do get into priced stuff, few if any is M$ products.
One interesting thing was the Xgamestation which lets you develop games (very simple ones) for a very simple console (thats probably way overpriced as it looks like it could probably be done with a couple microcontrollers and a serial interface).
So its a mixed bag, but still free (not opensource) stuff from M$!