Getting started with XNA is real easy, but like with any framework, you need to have your development environment configured correctly. All my development is done using Visual Studio 2008. However, if you're not able to own a license for VS2008, you can use the express versions of Visual Studio. Here are the two most current links to download what you need.
Download Visual C# 2008 Express http://www.microsoft.com/eXPress/download/
Download XNA Studio 3.0 http://www.microsoft.com/downloads/details.aspx?familyid=7d70d6ed-1edd-4852-9883-9a33c0ad8fee&displaylang=en First, install Visual C# 2008 Express and then install XNA Studio 3.0. Both installs should be pretty straight forward. XNA Studio 3.0 might ask you if it can forward ports in the firewall for Xbox 360 development. I would do it if you're planning on porting your game over to Xbox 360. In order to test the installation, open up Visual Studio. Go to File, New, New Project. If you have the XNA Game Studio 3.0 project type, then you have a successful installation! As you can see, we have several options for games we can build. The best part about XNA is that we can build a Windows game, and then use the same code to build 360 or Zune games. For my purposes, I'll start out by developing a Windows game. The major reason behind this is that you need to purchase a Creators Club subscription ($99) in order to test, debug, and deploy games to the Xbox 360. PC games are free to develop, and have no deployment issues. Have fun with your own projects!