Help with arduino and ethernet

hello people of the forum, I have a question? I'm new to arduino. Internet I have seen many videos on how to claim a right through a plate arduino google chrome or internet explorer. Now my question is: where is saved the program that appears on the screen to control the arduino? on one server or on the same arduino? plate? Whatever the case, some well sencilloo example you can lose? and finally: I know c # and vb net. to turn on or off a led as I refer to a particular pin of arduino from c # or vb? thanks