The first thing you'll need to get started with XNA will be to get the tools for the job. You can get them here at App Hub or you can also get the at Dreamspark if you are a student. At Dreamspark is important to note you can get a free year of XNA Creators Club. With it you can test/run your games on your Xbox directly. Once you have all the tools for the job you'll need to learn the basics for XNA.
To get started I recommend getting a book on the subject. The book I recommend is Learning XNA 4.0 which includes many lessons on the latest version of XNA. But don't just use a book when you have the internet as a resource. The first page I recommend to anybody interested in XNA has to be Microsoft's App Hub. There you will find tons of tutorials for the PC, Xbox, and Windows Phone 7. From basic 2D stuff to more complex things in 3D. The other site I recommend is GameDev. This site is for anybody interested in game development and is great to interact with other game developers. The purpose of GameDev according to their about, "GameDev.net was created with the sole purpose of providing a public site where game developers could freely exchange information." Here you'll be able to ask fellow game developers for tips and tricks. You can also check the many articles the staff puts out for gamers to learn more about game development. Do note this site is for game development in general and not just XNA.