When you improve the performance of a system, I find it's helpful to think in terms of the techniques you use, the "building codes" you follow, and the overall life cycle approach you use.  While there's a lot to know about performance engineering, here's the keys that I've found useful working with customers and experts over the years:

Key Techniques
Techniques are specific methods for producing a result:

• Performance Modeling
• Performance Design Inspection
• Performance code Inspection
• Performance Testing

Building Codes
Think of "building codes" as the principles, patterns, and checklists for the structure:

• Performance Guidelines
• Performance Checklists

Approach
The approach is the methodology you use to orchestrate your efforts:

• Performance Engineering

Key MSDN References

• Improving .NET Application Performance and Scalability
• patterns & practices Performance Testing Guidance for Web Applications

While there's certainly more to know, if you use the techniques, building codes, and approach above, you can start improving the performance of your applications immediately.