One fun way to learn - for me at least, your mileage may vary - is to watch a training video and do the exercise alongside the instructor. The instructor creates a new project, I create a new project. The instructor adds a TreeView control to the web page and creates a new dynamically bound data source, well... you get the idea.

Some great ASP.NET 2.0 videos are here. Useful for studying for the certification, hint hint.