C# 3.0 introduces several language extensions that build on C# 2.0 to support the creation and use of higher order, functional style class libraries. The extensions enable construction of compositional APIs that have equal expressive power of query languages in domains such as relational databases and XML.
Part of the new extensions is LINQ. LINQ is a codename for a set of extensions to the .NET Framework that encompass language-integrated query, set, and transform operations. It extends C# and Visual Basic with native language syntax for queries and provides class libraries to take advantage of these capabilities.
To understand this Microsoft have provided a set of samples: Get them here...