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!

If lugui is mahrio's brother, why is he not have his own girlfriend? 

I would imagine recreating Pong would be a great learning experience.

Do you actually know how to write in XNA and C# though?
 
Also 2 blogs for this? Not really necessary.

Good luck with your adventure in game design. It's a super complicated subject, but Pong shouldn't be hard at all. I had to mess with a version of Pong written in Javascript in a Digital Media class, and the code was ridiculously simple. I chose to turn it into Dodge Pong. That was from two years ago though, and it's not indicative of my current programming or game design skills. If you do some digging around through that link you can also find such crapass web-art gems as this(if there is only one column of drawings, you may need to refresh the page), but I digress.
 
There is also an excellent tutorial on setting up an XNA game engine with some proper object oriented programming here:  http://www.innovativegames.net/blog/blog/2009/10/18/innovation-engine-roadmap-2009-2010/

Assuming you know how to write C# I'd say your next port of call is probably just learning XNA since it sounds like you're new to it. Personal experience is an integral part of learning any programming language but I'd advise you to seek out some tutorials on this kind of stuff because otherwise you run the risk of going forward without knowing proper code design and without knowing how to steamline the basic aspects of your programs. Learning via tutorial will teach you more, teach you faster and will usually make sure that you know how to code as efficiently as possible.