Looking to get started understanding exactly what XNA is and how you can use it?
Microsoft XNA Game Studio 3.1 is a set of tools based on supported versions of Microsoft Visual Studio tools that allow students and hobbyists to build games for Microsoft Windows, the Microsoft Xbox 360 video game and entertainment system, and Microsoft Zune.
XNA Game Studio also includes the XNA Framework, which is a set of managed libraries based on the Microsoft .NET Framework 2.0 that are designed for game development.
XNA provides a great skeleton for building 2-D and 3-D games with a set of game-centric class libraries and a straightforward programming model.
Learn how to get started with this in-depth blog post from the Canadian Developer Connection that provides a great overview of how to get started (and dangerous) with the XNA framework!