I wish to make a robotic arm which will move a cd from one location to another so it will have to move both up and down and side to side, so I imagine this will take 2 stepper motors?
Plus a motor or something else to "grip" the CD. In fact, the issue of gripping and positioning the CD may be the most difficult task of such an arm, depending on what you are attempting to do. I would suggest looking into homemade CD copier robot-arm devices, as well as looking into how commercial CD copier robot arms and other automated CD library systems work. You would also do well to study industrial Cartesian robot arms and other types, to see how they are constructed and how you might replicate such a machine.
Can anyone point me in the right direction on what items I will need to buy to get the basic robot arm working (or to be controlling 2 motors via code) Could you define terms like motor shield for me, as i'm not quite sure what that is and couldn't find a good explanation and would I would need to get this working.
A shield in the Arduino world is simply a PCB that plugs on top of the Arduino (and/or other shields - it's a stackable "standard" in the Arduino world); so a motor shield is one which can control motors.
However, most of the shields are based on either the L293 or L298 h-bridges (or equivalents), and thus have the limitation in that they can generally control a single stepper (bipolar, IIRC) or two brushed DC motors. You can't select either one until you know what kind of motors you plan to use, as well as what their voltage and current requirements are. And you can't select the motors, until you know what kind of torque and other requirements will be needed for your arm (though you can guesstimate it).
Personally, I would stay away from using shields as "shields", and instead either use them off the Arduino (connected to it via jumper wires), or build a custom PCB with your own L293 or L298 chips on it to control the motors. If you intend to stick with steppers, you would need one chip per stepper; otherwise, if you use small brushed-DC motors, you can run two motors per each IC (in the case of the L298, you can use one in a "bridged mode" to get double the current availability for a DC motor, if your motor is particularly "hungry"; the L293 is also possible to "stack" to double the current output, but it is really a hack - but people have done it).
You are also going to need a method to monitor the position of the arm; this can take the form of a potentiometer, an encoder of some time, or something else. So you need to investigate this and keep it in mind as you develop your arm.
Does Arduino support VB.net?
No - the Arduino is programmed in C/C++, which is compiled down to a binary and loaded onto the Arduino via a virtual serial port using USB (there are also other, more advanced methods as well). You can (in theory - I'm sure someone has done it) use VB.net to communicate via the virtual serial port to the Arduino, to read and write values to and from the software running on the controller (so you can send commands to move the arm, and also receive information back if needed).
How do you program the item - the arm would be plugged into the PC via parralel port or USB, is this possible?
As I mentioned above, the Arduino would control the arm's motors (and receive info from the position and other sensors), and you would send commands over the virtual serial port via USB to the Arduino from your VB.net (or other) program.
Thanks for the advice and links to the products I would need, as I am excited and wish to order ASAP
I don't have any advice for products, as I don't think you are anywhere near that stage yet. Your first task should be learning to communicate with the Arduino from your VB.net software. I would take the simple Arduino, and write code to read the serial port, and use the value received to change the brightness (or speed of flashing, or something) of the pin 13 LED. You would also need to write code to tell the Arduino to send a string/data value back (aka, read from the Arduino). Once you have that working, then you are ready to start controlling a motor or two. Then you can work on mechanics, etc.
There are plenty of examples on the internet of using the Arduino in this manner - you might also want to review the RepRap project for some ideas...