Installing XNA Game Studio
To get started developing games in XNA, you will need to download and install the software. You will need both Visual Studio and XNA extensions. With the release of XNA 4.0, the install packages have been consolidated, and both required components are included in the Windows Phone SDK package. The SDK was previously known as the Windows Phone Developers Tools prior to the release of the XNA 4.0 Refresh as part of the Windows Phone SDK 7.1 update.
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XNA and the Windows Phone SDK
The October 2010 release of the Windows Phone 7 platform marked a shift in Microsoft's direction for XNA. Prior to Windows Phone, XNA was a separate download that included Visual C# Express. While still supporting the Windows and Xbox platforms as well as the Windows Phone, XNA is no longer available separately, and has been rolled into the Windows Phone SDK.