XNA, this is not a three letter acronym, XNA is three letters that stands for FUN and creating FUN stuff for you and your friends to use! You can use XNA with Silverlight, XNA drives the latest games on XBox and on Windows. What is odd, you can't use XNA on mobile devices. This is odd because the XBox 360 is based on the Compact CE Framework and isn't a special build of Windows XP or Vista like a lot of people think.
You should have either the Visual Studio 2005 C# Express on your machine (in this case you can only use XNA Game Studio 2.0), Visual Studio 2008 C# Express (you will be able to use both the XNA Game Studio 2.0 or 3.0, and then you can program the Zune).
XNA can be evil to get started with. You will need to use the tutorials/books that you get when you perform the registration. Many people do not complete the registration, don't understand why, well except there are about 10 steps. But there are definite benefits, FREE e-BOOKS! FREE CONTROLS! and some other stuff.
Follow the registration video, which is brief, to get set-up to use the VS 2008 product. Sara Ford's excellent tips-of-the-day blog is another way to learn about the tips and tricks that can help in a job interview.
You need to understand C#, when you register for the Visual Studio C# Express 2008, you get access to a copy of an excellent book on getting up to speed with C#, but YOU HAVE TO REGISTER.
Here is the steps you have to take to get that book (accessibility alert, pictures in tables: