Thought about it and I suppose I should point you in the right direction with XNA.
Download Visual Studios Express Edition 2008 for C#. Its completely free and works well. The builds you make however are only compatible with other VS Express 2008 for C#. So some tutorials you get won't work unless you recompile the source code.
Download XNA Game Studio 3.1
You can find both of those on google.
Riemers XNA tutorials here:
http://www.riemers.net/
Seriously. His tutorials are awesome.
If you need help on anything specific, google it and they probably have a tutorial on it or someone has asked a question about it.
Being that I personally actively use XNA and I'm pretty friendly, you can ask me for help anytime. =)