Getting the new XNA Game Studio 4.0 and Visual Studios 2010 C# Express was incredibly easy.  I found that  http://creators.xna.com/en-US/ was the place to go for pretty much all of my beginner needs.  You do have to create an account to download the starter kit but the account is free and since the community is very active and helpful I see no reason why you wouldn't want to create the free account.  On the downside you have to upgrade to a premium paid account to be able to create xbox360 games.  So because I am poor, I will be creating a game to run on PC. 
 
The XNA Game Studio 4.0 download includes everything you need to get started if you don't already have Visual Studios.  I was able to download it and get it installed with no problem.  After the installation I started her up and was created a new project using the template for Windows games using XNA.  The template is very bare bones but imports all the libraries and things I need for this project.  It compiled and ran.  Currently it is just a blue screen, but I have decided that since this is my first foray into game development I should start with something simple.  Something that I can finish in a few days, just a warm up really.  I will be the millionth person to recreate Pong.  Tomorrow's post will cover my first attempts in game development.  There will be code snippets and screen shots! Rejoice!