From http://msdn.microsoft.com/en-us/library/acy3edy3.aspx :
The Main method is the entry point of a C# console application or windows application. (Libraries and services do not require a Main method as an entry point.). When the application is started, the Main method is the first method that is invoked.
It could be that not every C# file you have is the entry point for a console application or windows application. The files might be a part of a console/windows application, but not the entry point. The files could also belong to completely different types of projects.
As for smart/efficient ways of working out what code does, without comments, you're pretty much resigned to reading the code, unless you can trust that things like method names accurately describe the body of the method. Even then, how can you be sure without reading it first?
Edit: As JBeck commented, you could always run your code in Visual Studio, breakpointing the parts that you're not understanding can help.