There are two options if you don't want to mess with P/Invoke stuff and unmanaged code:
- Use mentioned CUDA.NET library. It works very well, but it's targeting CUDA, so only nVidia cards. If you'd like to solve more complex problems you'd have to learn CUDA, write your own kernel (in C...), compile it with nvcc and execute from C# via this library.
- Use Microsoft Research Accelerator. It's a nice library build by MS Research that runs your code on anything that has lots of cores (many-core nVidia/ATI GPUs and multi-core processors). It's completely platform independent. Used it and I'm pretty impressed with the results. There is also a very good tutorial on using Accelerator in C#.
The second option is that I'd recommend, but if you have no problem with sticking to nVidia GPUs only - the first would probably be faster.