Is there any cheap and very extensible robot kit, which can work with Microsoft Robotics?
I want to have a great choice of cool parts for a robot to buy. :)
If where is no such robot kit which can work with MS Robotics, is there any chance to buy a very extensible robot which just can be programmed, maybe even in assembler?
Any good robot kit is, by definition, going to require you to be fairly handy with ALL the aspects related to robotics. That is, you're going to have to learn a bit of mechanical engineering to make sure your locomotion device works properly, a bit of electronics to attach sensors, and so on. If you're looking for a snap together pre-built kit where all the accessories fit into proprietary docking connectors, you're not looking for robotics.
If you're feeling gung-ho about learning to program ICs, you could do worse than the Arduino system. With that in tow, you could look here for more inspiration as far as parts go:
http://www.sparkfun.com/commerce/categories.php?c=31
The Arduino is one of the more popular open-source robotics base boards, and it's easy to program and get started with. You can do a lot before you run into the hardware limits on that, but you will have to build your robot from bits and pieces, rather than a nicely packaged kit with printed instructions. That's half the fun though.