What does this C# code with an “arrow” (=>, an equal sign and greater than sign) mean and how is it called?

That is a lambda expression. It is a very special anonymous delegate. Basically you are defining a method and not giving a name. Its parameters are to the left of the => and the method body is to the right of the =>. In your particular case,

(se, cert, chain, sslerror) => { return true; };

is an anonymous method defined by a lambda expression. This particular method has four parameters

object se
X509Certificate cert
X509Chain chain
SslPolicyErrors sslerror

and the method body is

return true;

It’s as if you had said

class ServerCertificateValidation {
    public bool OnRemoteCertificateValidation(
        object se,
        X509Certificate cert,
        X509Chain chain,
        SslPolicyErrors sslerror
    ) {
        return true;
    }
}

and then

var validation = new ServerCertificateValidation();
System.Net.ServicePointManager.ServerCertificateValidationCallback +=
    validation.OnRemoteCertificateValidation;

How is that (blah,blah,blah)=>{return true;} construct called and where can I find more info on such constructs?

It’s called the same way that any other method is called. For example, you can do this:

Func<int, int, int> adder = (m, n) => m + n;

Here I am defining a method that eats a pair of int and returns an int. That int is obtained by adding the values of the input parameters. It can be invoked like any other method.

int four = adder(2, 2); 

Here’s an article on MSDN on lambda expressions and an article on the lambda operator. If you’re really interested, the name comes from lambda calculus.

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