Bench test your PC!

Code:

if (i == num)
                {
                    Console.WriteLine(num);
                }

That makes me cry. Writelines are very CPU intensive. Only the end result is needed.

Code:

Stopwatch timer = new Stopwatch();
            timer.Start();
            int num;
            int i;
            for (num = 3; num <= cap; num += 2)
            {
                for (i = 2; i < num; i++)
                {
                    if (num % i == 0)
                    {    
                        break;
                    }
                }
            }

There are other optimizations you could use, but these are some pretty good ones for the moment. I guess it's also because I was trained in the ANSI standard. >_>