SOS (son of strike) is the official WinDbg extension from Microsoft for .NET. It gets installed as part of the .NET framework and thus is available by default.
Like any extension, it can be loaded using
.load x:\full\path\to\sos.dll, but there are easier ways. Depending on the version of .NET, the extension is located side by side to
mscorwks.dll (.NET CLR 2),
clr.dll (.NET CLR 4) or
coreclr.dll (Silverlight and Universal apps), so one of the following commands should work:
.loadby sos clr .loadby sos coreclr .loadby sos mscorwks
For a list of available commands, consult