Robert Green in this screencast, shows how to use the profiling tools in Visual Studio Premium and Ultimate to identify performance issues in your applications. He demonstrates two profiling methods: Sampling and Instrumentation.
Sampling collects data on the CPU methods are using. Instrumentation collects data on how much time each method takes to run. Once you know which areas of your code are most impacting performance, you know where to start looking for ways you can improve that performance.