I don't know about svn. What is svn? My friend told me to use Assembla, it's just a repository? Or a svn too?
If I use an svn client, such as AnkhSVN, where do I store my projects? In AnkhSVN? or Assembla? If store in Assembla, what must I do to connect it to AnkhSVN?
svn is short for subversion, which is a type of version control system. Version control is a huge topic -- in a nutshell, these are just some of the benefits you get from using version control:
You can use subversion directly from the command line, but there are also GUIs and IDE plugins that make subversion integration easier. AnkhSVN, for example, is a subversion client that integrates with Visual Studio.
I recommend you do some reading on version control, then follow a few subversion tutorials to get you started: