How can I set my master page as the home page for my own site?

Where should I write the server side coding in the click events of controls in the customized webpart?

How can I create my own site with all the customized pages and webparts in sharepoint2007?

How to integrate asp.net2.0,sqlserver 2005 with MOSS2007.

Thanks,
Surya

Where should I write the server side coding in the click events of controls in the customized webpart?

You need to use Visual Studio 2005 for all such development.

How can I create my own site with all the customized pages and webparts in sharepoint2007?

Create a new site with Central Administration's Application manager functionality. Customised pages can be created either with the designer software, or with VS 2K5 or create pages based on templates from Site administration section - Create sub section

Cheers!
Koushal