When you decide to build a game for Windows Phone, the first thing you have to decide is whether you are building an XNA game or a Silverlight game.  Luckily, my team did a bit of research on this topic, and I wrote a whitepaper on this subject.  The paper was published at http://creators.xna.com/en-US/article/whichproductforWindowsPhone.

My belief is that most game developers will choose XNA as their development platform. My blog will be focusing on XNA development, rather than Silverlight development.  Peter Torr has a blog focused on Silverlight development for Windows Phone.

If you're still here, I'm guessing that you are interested in XNA development. The first place to start is the whitepaper on creating your first game for Windows Phone.

Now you should have the XNA Game Studio 4.0 CTP downloaded. That means you'll have Visual Studio 2010 Express for Windows Phone installed.  Next you might want to spend 30 minutes watching the presentation I gave at Mix10 on Development and Debugging Tools. That talk will give you a  good overview of the tools available for development, debugging, and profiling XNA Game Studio code.  You'll also learn the techniques I recommend for being able to profile Xbox and Windows Phone XNA code.