No personal experience with this for .NET but I've found that you will need Visual Studio installed with the Codelink Plugin. There's some more information/links on this page:
You can use the Visual Studio but to use this feature you must install the AppMon CodeLink Add-In For Microsoft Visual Studio.
Have a look on the following link for more understanding.
One point of clarification:
To simply use the "Decompile IL Code" menu option, Visual Studio is not required. In more recent product versions, this just works out of the box. In older versions of AppMon you had to install a .NET decompiler into the AppMon client.
To use the "Open in IDE" menu option, Visual Studio is required, including the mentioned plugin.