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A console application starts with a class, correct, but the class must contain the static Main method. The class used to start the application can be changed in the project properties.
C# is the programming language. Visual C# usually refers to the free version of Visual Studio Express which you can only use C# with, but some people also use it to refer to general use of C# inside any version of Visual Studio.
Well Visual Studio 2005 creates a class called "Program" which contains the "Main" method which is required for a console application. This should probably then just create an instance of your worker class, or alternatively call its static methods to perform the actions.