Software or system security hugely depends on the type of system being designed, the data it stores and the regulatory/contractual environment it is used in. Most organizations often cannot articulate the level of security required in the systems they produce, either.
Personally, I think about security on three levels. First is the highest level: the business level where management decides the risks to the business, usually referred to as Enterprise Risk Management (ERM) using frameworks like COSO, or IT governance, using frameworks like CoBIT or TOGAF. Organizations do not have to use a recognized framework but it can help ensure issues are not forgotten and help prioritize otherwise easy to dismiss non-functional requirements like security.
This also includes compliance, such as industry-specific law like HIPAA's Security Rule for health information, contractual obligations like PCI-DSS or buyer specifications like FIPS 140-2 or Common Criteria). Each is verified in different ways.
Second is the development organization level: what practices the organization should undertake when developing a system. Several standards or frameworks exist, such as:
- The Building Security In Model (BSIMM)
- Microsoft's Security Development Lifecycle
These recommend different practices to use at different stages of software development. For example, many frameworks recommend threat modelling to detect design flaws early (where they are cheapest to fix), adhering to secure coding guidelines and using static analysis tools to find flaws as code as written then penetration testing afterwards, using tools that emulate common attack methods.
The third is guidance for each of the specific practices. Focusing on Microsoft coding practices, as mentioned by the OP, the challenge with the Microsoft online documentation is, while there is a lot of it, much of it is out of date. Instead, focus on OWASP for the web side. OWASP approaches each vulnerability from a vendor neutral perspective then links to vendor-specific mitigations.
While it focuses heavily on C++, consider Secure Coding (link is to the Amazon page) if for the desktop side and the follow up book on secure coding for Vista. Microsoft's MSDN Security Center collates information on Microsoft tools and libraries.
If you want vendor-neutral training or certification on secure coding, consider the SANS courses or (ISC)2 CSSLP. Remember, security is not just about the code - ensure your operations and IT staff have also considered security in their infrastructure design, your QA know how to test security features and your architects consider security (indeed, IASA considers security as one of the four main groupings of quality attributes).