XNA GAme Studio Express requires that you have Visual C#.NET already installed on your PC. XNA also has the following requirements:

• Windows XP with Service Pack 2
• A graphics card that supports DirectX 9.0c and Shader Model 2.0
• At least .NET Framework Version 2, a later version will also work
• At least August2006 DirectX SDK, a later version will also work

You should also register Visual C# Express edition, by clicking Register Product on the Help menu. Also, download Visual Basic 2005 Express.

Now, first install the .NET Framework and then DirectX SDK, secondly, install Visual C# Express and then install XNA Game Studio, Visual Basic 2005 can be installed at any time.

Once installed, start a new project in VB.NET, make it a Windows App and call it anything you like, on the solution explorer on the right hand side, right-click the project name and select properties: