Look for the Visual Studio C# 2008 Express Edition and download it.
Then download the Xna 3.1 Gamestudio.
It allows you to create games for Windows, ZuneHD and Xbox 360 (last one requires a membership ~90$/year).
Finally you need the Xna ZuneHD Extensions.
Do install these three in the order given. Now you're set for running your first game.
| great video tutorials from them
(scroll to the very bottom, where it says "beginner's guide to xna game studio 3.0", you should do these tutorials first.
Afterwards you can find dozens of free samples on there site. Download and learn from them.
has also good tutorials, but you have to read through them.
Good luck with learning, feel free to come back if you have any questions.
If the questions are coding related you can either sign up at creators.xna.com and ask there, or use google, or send me a PM.
Always good to have a new coder onboard.
(Oh, and btw, one you are fit enough, you might want to start to develop for the WP7 (Windows Phone 7), you can earn money by doing so.