Lorenzo Maiorfi has written a very interesting article in his TinyCLR.it blog - one I wish we had thought to do. Now he has done such a good job that all I need to do is point you to it. He decomposes the steps from writing led.Write(true) to seeing the LED illuminate. If you have ever been curious what is 'under the hood' this article is a great place to start. http://www.tinyclr.it/journey-under-the-hood-of-net-micro-framework.aspx
There is additional Developer documentation on the NETMF Codeplex site which can be visited by clicking the link above.