Hi,
I coded Three-D Velocity in C# and you can check its source code here: http://github.com/munawarb/Three-D-Velocity
It will give you an idea where to start.
A brief answer to your questions:
To create a window, create a Windows Forms Application. In the "main" method, you will see code that has been placed there to create a form and run the "message loop." You can use the Windows Forms Designer by pressing SHIFT+F7 and then CTRL+ALT+X to launch the toolbox. In there you will see properties for your form. You can change the color in that list.
You can use DirectSound 3D to rotate the soundscape. There is example code in the TDV source that will show you how to do this, in BPCSharedComponent/DSound.cs.
Bullets and other projectiles are a different story. This depends on if you're using a game engine or coding from scratch. In TDV, I coded everything from scratch, so I had to write the formulae myself using reference material and knowledge from Physics. If you look in BPCSharedComponent/VectorCalculation, there are useful functions in there to calculate angles, speeds, positions according to time steps, etc. But, nowadays I wouldn't recommend coding this stuff from scratch since many Physics libraries exist that will do the hard work for you. Things like Mono Game Studio or Unity 3D are popular choices.
Basically, all the questions you're asking can be answered by poking through TDV's source, especially since you want to make a 3-D game.
To make a scrollable menu, I do it by putting all of my options in a String array and then changing the index of the menu up or down based on what key the user pressed. The items in the String arrays are paths to sound files that will play.
So for example, when the user presses DOWN ARROW, play file at menu[0], menu[1], menu[2], etc. The trick is controlling the key input so that if they hold down an arrow, the menu won't continuously scroll. You have to get a little clever about it, but if you look in TDV/Common.cs in the generateMenu method you will see a function you can pretty much copy-and-paste into your project to get a working menu.
Good luck and if you have any more questions, post here and I'll try to help as time permits.