http://msdn2.microsoft.com/en-us/xna/aa937795.aspxSome notes from their web site:
To run XNA Framework games on Windows, you will need a graphics card that supports Shader Model 1.1 or greater and DirectX 9.0c. We recommend that you use a graphics card that supports Shader Model 2.0 because some samples and starter kits may require it.
Before installing, you must uninstall any previous Beta, CTP or Tech Preview versions of SQL Server 2005, Visual Studio 2005, and the .NET Framework 2.0.
1.1.1. XNA Game Studio Express 1.0 Refresh Requires Visual C# 2005 Express Edition Service Pack 1
1.1.3. Run Visual C# 2005 Express Edition at Least Once Before Installing XNA Game Studio Express
1.1.4. Register Microsoft Visual C# 2005 Express Edition Before Installing XNA Game Studio Express
1.1.5. Close Visual C# 2005 Express Edition Before Installing XNA Game Studio Express
1.1.7. Install XNA Game Studio Express 1.0 Refresh Using Explorer on Windows Vista
1.1.8. Uninstall XNA Game Studio Express Before Uninstalling Visual C# 2005 Express Edition