>I would like to create small programs like the ones shown in many beginner books but am not quite sure how to do so in the VS. NET IDE. i.e. do you need to create a new project for each little hello world sized program to test it?

Yes, you do need to create a project in order to create an EXE and run it. Naturally you can do more in one project. You should start by creating a CONSOLE APPLICATION project and write your "Hello World" program.