If your GPU is NVidia, you can use CUDA.

There is an example here, that explain all the chain, including some C/C++ code: CUDA integration with C#

And there is a library called CUDA.NET available here: CUDA.NET

If your GPU is ATI, then there is ATI Stream. .NET support is less clear to me on this. Maybe the Open Toolkit Library has it, through OpenCL support.

And finally, there is an Microsoft Research project called "Accelerator" which has a managed wrapper which should work on any hardware (provided it supports DirectX 9).