As a student, when you look at the material on the MSDN sites, it can be difficult to determine what you need to know or even how to use the information. First off, it is important to have software the is up to date and functional. Use this link to get started on downloading C# Express 2005 and XNA Express. Make sure to download C# Express 2005 first and then XNA Express second, also when ask if you want to include SQL Express and MSDN, select yes!
Once you get the Express tools loaded, you can hook an XBox 360 controller (wired for XP or Vista, wireless with the dongle for Vista). Run XNA Express, and from File-New, select the Space Wars template for windows and an XNA Express game will be built on your computer! As time goes on, I will show you how to navigate the existing documentation to build cool 3-D games and learn how to design software!