I am trying to set the array keys as a strings like in the example below, but inC#.
The closest you get in C# is Dictionary
var dict = new Dictionary();
dict["key_name"] = "value1";
Note that a Dictionary is not the same as PHP's associative array, because it is only accessible by one type of key (TKey -- which is string in the above example), as opposed to a combination of string/integer keys (thanks to Pavel for clarifying this point).
That said, I've never heard a .NET developer complain about that.
In response to your comment:
// The number of elements in headersSplit will be the number of ':' characters
// in line + 1.
string[] headersSplit = line.Split(':');
string hname = headersSplit[0];
// If you are getting an IndexOutOfRangeException here, it is because your
// headersSplit array has only one element. This tells me that line does not
// contain a ':' character.
string hvalue = headersSplit[1];