Is there any way for people using VS2008 to step into and read the source code for the MSDN libraries?
I come from a Java background where this is possible...
Yes it's possible. Have a look at the following blog post by Shawn Burke for details:
Configuring Visual Studio to Debug .NET Framework Source Code
On the other hand, if you simply want to check out how certain things are implemented in the .NET framework (without debugging), then use .NET Reflector (as mentioned by LorenVS). This is a very useful tool that can help you a lot to understand the .NET framework.
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