The Basics

You can start a XNA game project by file>newProject>XNA game Windows 3.1
Tadaa ! u can run your first game.....
Any way its a blue screen but with a little bit of effort it will turn in to a great game....
There are mainly three methods that you should know about

1) LoadContent() method, which will load all the game components that you need in game
2) Update(gameTime gameTime) method which is used to update all the game Objects
3) Draw() method where you put the game on the screen

well... some people try to update game objects inside the draw method,but thats not a good idea as they are used for different purposes. and the much heavier processing should be done inside the update method,,,,

What u need to start developing a game with XNA....

Well, there are several things that you will need if you start game developing....
XNA game studio 3.1
visual C# .NET or express edition(2008)

Download them and install them. Now you are ready to start....

I will also mention some handy tools that you will find interesting if you are starting...

Sunburn Rendering engine (Framework is enough)
Photoshop or GIMP shop
A 3D software
Blender
Autodesk Mod tool Pro