First, it depends on development approach you are using - Portal engine or ASPX template. This forum post is in ASPX category, so I assume this is the case. Master page tab is available in CMSDesk / Content / Edit mode, when you choose your root document. However, if you want to modify asp.net code of the template itself, Visual Studio should be used for this purpose.
As for documentation, Developer's guide for Kentico CMS 3.0 is available here
. You can also read ASPX tutorial
for version 4.0. It is basically still the same principle. Thank you.