If you install entire visual studio.net (assuming 2008, visual studio team system), you will not see separate entries for each of c# or c++ or web developer but u will only see link to open Visual Studio and inside visual studio u will be able to create c++ or c# or web developer projects. So this means u do get all those developing environment but its integrated into Visual Studio.
If you want to install only Visual Web Developer then microsoft releases separate version of web developer called Visual Studio Express Edition and it should have one CD only containing web developer. You can download it from this link http://www.microsoft.com/express/vwd/