Using the XNA Game Studio Express
Currently, the XNA Game Studio Express is in public beta. You need to have Visual C# Express installed to run Game Studio Express. You can find all of the download information here. The beta software is free, but the final released software will cost $99 a year—amazingly low when you consider the cost of a game development environment can often be in the thousands.
You need to know how to program in C# if you want to build a game with XNA Game Studio Express. Although Microsoft has made it easier for you to work in the game environment, the reality is that you need to know how to write a little C#. The good news is that you do not need to know the hundreds of lines of code you once needed to know to configure settings.
Eventually, XNA Game Studio Express will be the smaller brother to the full XNA Game Studio, much in the same way that C# Express is the smaller brother to Visual Studio 2005. The full version of XNA Game Studio has not been announced.