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