http://www.microsoft.com/visualstudio/eng/downloads#d-express-windows-desktop

Quote:You can use Visual Studio Express 2012 for Windows Desktop to build powerful desktop apps in C#, Visual Basic, and C++. You can target client technologies such as Windows Presentation Foundation (WPF), Windows Forms, and Win32. After installation, you can try this product for up to 30 days. You must register to obtain a free product key for ongoing use after 30 days.

So after 30 days you need to do something to get a free CD key. Direct download link fos Visual Studio http://go.microsoft.com/?linkid=9816768

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Then you'll need to instal the base DirectX SDK
http://www.microsoft.com/en-us/download/details.aspx?displaylang=en&id=6812

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Then if you wish for some older support, not required, but you should get it:
http://www.microsoft.com/en-us/download/details.aspx?id=35

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Then XNA itself:
http://www.microsoft.com/en-us/download/details.aspx?id=27599

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Getting started with XNA; I'd recommend this, it should show you the setup and how to make your first basic game:
http://xbox.create.msdn.com/en-US/education/tutorial/2dgame/getting_started

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Some basic tutorial links:
http://xbox.create.msdn.com/en-US/education/catalog/
http://www.riemers.net/