Last year I was awarded the Microsoft Community Contributor Award and as such I've been wandering through the Microsoft Support forums for quite some time. Enough to know that it's easy to get lost. So here's a short rundown of all the locations you're likely to get help:
The MSDN forums are the first port of call for anything related to Code, TFS, BizTalk etc. There are a few exceptions though (most notably ASP.NET), and they're usually not very clearly defined. Beta products usually receive their own (temporary) forum which will reside next to the forum for the current product version.
Some of these forums here are monitored directly by Microsoft MSDN staff and if you've set up your forum account correctly (meaning you're using the same account for your MSDN subscription) you'll have a better chance of receiving an answer.
The ASP.NET forums focus specifically on ASP.NET and any technology which is related to it. It has it's own forums on Data Access technology and a few other things also found at the MSDN forums, but the questions asked here should almost without exception have something to do with ASP.NET. You need to register separately and this forum isn't monitored by MSDN support.
A few groups are using Stack Overflow for support questions. Most notably Pex and Moles. It's also a great resource for finding solutions to other .NET related area's. It's not structured as a forum for discussion, but uses a one question, multiple answers approach.
Answers is the location for any questions on Office, Internet Explorer, Zune and Windows Phone. Mostly for end-users, but Office Automation is one of the few developer centric forums which you will find here.
Connect is the public bug tracker for a lot of products from Microsoft. Visual Studio has it's tracker there, as have a lot of the add-ons to the .NET framework. Apart from the current versions, there's also a lot of beta and pre-beta programs which have their own private forums on Connect. You can see which programs there are, but to access them you'll usually need someone from inside Microsoft to grant you access.
Big products and anything Infrastructure related can be found in the TechNet forums. Products like SQL Server, SharePoint and BizTalk have their support homes here. And that doesn't just include infrastructure related questions, but you can also ask development related questions specific to these products in select forums.
Codeplex hosts quite a few Microsoft components and tools. Enterprise Library among others. Each project on Codeplex has its own discussion area and that would be the first location to go to for support.
Microsoft Dicussion Groups
The Microsoft Discussion groups are "the old way" of discussing code, infrastructure and anything Microsoft Related. Some of these groups are still very active, but Microsoft is moving more and more of these groups to the support forums which provide a richer experience and are easier to access for the average users. A few of these groups are linked to forums using an NNTP bridge. They're also indexed by Google Groups.
You can browse these groups using the site, but you can also hook up your favorite news reader. In the past I've used JetBrains Omea Reader to monitor these groups, it has great support for querying and filtering news groups, making it a great tool for cherry-picking.
Other useful sites to go to for help
And then of course there are a lot of seemingly unrelated forums out there where you can get good advice on how to solve your programming problems. Experts Exchange, CodeProject.
3rd party controls and applications
Ohh and don't forget! Many 3rd party vendors have their own support forums in place. Asking questions on how to solve your issues with a particular Telerik control or a n/Software component is usually moved to the garbage bin in any of the above mentioned forums. So to get an answer to your questions, please direct them to the vendor directly.