Doing authentication for a desktop app is more complex than for a web based app. Since this is a "first test application", I'd highly suggest developing it as a web app using the Facebook JavaScript SDK (http://developers.facebook.com/docs/reference/javascript/). Once you can get it all working there, then going to a windows desktop app will be much easier, as now you've already got the authentication part worked out (because your desktop app will use the javascript SDK to auth the user).
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