>I see refernece in various sections and get Microsoft emails referring to MSDN
>What exactly is MSDN, how much does it cost and is it worth joining ?

MicroSoft Developer Network is kind of the Microsoft homebase for developer info. msdn.microsoft.com

If you become a subscriber you get developer licences of tons of their software.
http://msdn.microsoft.com/subscriptions/resources/subdwnld.asp
http://msdn.microsoft.com/subscriptions/prodinfo/levels.asp