On the help site you will find how to, examples and sample code see http://help.qlik.com/sense/2.0/en-us/developer/#Home-developer.htm
You can download the ,Net SDK from Nuget see NuGet Gallery | Packages matching Qlik Sense
If you are testing through fiddle make sure you also pass cookies along.
When you first establish the websocket connection to the engine you will get a SetCookie response back in the upgrade http response. This is your session cookie which you will need to pass along to the actual http upgrade.
In the first response you get back, OnAuthenticationInformation, does it say you have to authenticate?