I see you are from Sarajevo so you are probably need to convert GK coordinates from B&H coordinate system. First you will need to get transformation parameters for your area. I don't think there are any good one in EPSG database. Maybe you can use this one. I sometimes use them for area of Croatia.
Regarding the C# lib, there is one which I used Proj4Net.
Here is one my old example.
CoordinateSystemFactory cFac = new CoordinateSystemFactory();
Wgs84ConversionInfo par = new Wgs84ConversionInfo(514.0188, 155.448, 507.0461, 5.6136, 3.676, -11.4667, 2.091);
IEllipsoid ellipsoid = cFac.CreateEllipsoid("Bessel 1840", 6377397.155, 6356078.963, LinearUnit.Metre);
IHorizontalDatum Bessel1840 = cFac.CreateHorizontalDatum("Bessel 1840", DatumType.HD_Classic, ellipsoid, par);
IGeographicCoordinateSystem gcsBessel = cFac.CreateGeographicCoordinateSystem("Bessel 1840", AngularUnit.Degrees, Bessel1840, PrimeMeridian.Greenwich,
new AxisInfo("East", AxisOrientationEnum.East), new AxisInfo("North", AxisOrientationEnum.North));
System.Collections.Generic.List<ProjectionParameter> parameters6 = new System.Collections.Generic.List<ProjectionParameter>(5);
parameters6.Add(new ProjectionParameter("latitude_of_origin", 0));
parameters6.Add(new ProjectionParameter("central_meridian", 18));
parameters6.Add(new ProjectionParameter("scale_factor", 0.9999));
parameters6.Add(new ProjectionParameter("false_easting", 6500000));
parameters6.Add(new ProjectionParameter("false_northing", 0));
IProjection projection6 = cFac.CreateProjection("Transverse Mercator", "Transverse_Mercator", parameters6);
IProjectedCoordinateSystem zona6Bessel = cFac.CreateProjectedCoordinateSystem("6 zona Bessel", gcsBessel, projection6, LinearUnit.Metre, new AxisInfo("East", AxisOrientationEnum.East), new AxisInfo("North", AxisOrientationEnum.North));
IGeographicCoordinateSystem wgs84 = GeographicCoordinateSystem.WGS84;
CoordinateTransformationFactory ctFac = new CoordinateTransformationFactory();
ICoordinateTransformation zona6ToWGS84 = ctFac.CreateFromCoordinateSystems(zona6Bessel, wgs84);
toPoint = zona6ToWGS84.MathTransform.Transform(fromPoint);
I hope this helps a little. This code was written a long time ago but i think it works. You just have to insert your parameters.
You have to distinguish between the project CRS and the layer CRS.
Your data is in lat/lon degrees, so the layer CRS should be EPSG:4326, WGS84.
Your project CRS can be anything else. In most cases a projected CRS, where units are metres or feet. On-the-fly projection should always be activated.
Just be sure to check the "Decimal separator is comma" box when you have decimal commas in your coordinates.
Best Answer
Adding it as a CSV would be my choice, there's a function for importing csv with long-lat columns (the comma that appears together with the import vector, raster, etc icons; these must be, as mentioned, in decimal degrees, you may use a spreadsheet formula with