Hi morten, i think a pretty good start is:
http://www.umbraco.org/frontpage/documentation/implementingnetcontrols.aspxAs far as i know there is not a really good tutorial on how to setup a good Umbraco development. When you use the Umbraco source you will need to use visual studio 2003.
A good start to learn how to make extensions is to check some packages, most of them have source included, watching them and try to modififacte them is often a good way to learn stuff fast.
About Umbraco, its a known issue that its not very good documentated, but i can tell you that the code is pretty good readable, and with some knowledge about umbraco, you really don't need too much documentation. And offcourse, when you are stuck, you can always ask your questions. I don't know how long you are using umbraco, but i think it helps when you are well known with the product, about 95% off the stuff can be done with XSLT or existing controls.