You should install the ArcGIS Engine Developer Kit:
http://resources.esri.com/help/9.3/ArcGISDesktop/com/shared/engine/get_started/install_reg_eng_sdk.h...
Here are the concepts:
http://resources.esri.com/help/9.3/ArcGISEngine/dotnet/concepts_start.htm
Is there a specific question that you have that is not covered by the above topics?