Get Visual C# here and install, then download the Game Studio plugin for it here and install that. You should now have an option to create a game project.
Oh you will also need the Zune client. You don't need a subscription, but Visual Studio requires some of the dlls from the client to transfer the game to the device. Grab the client here.
There's tons of sample code floating around the intertron.
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Also, you may want to try asking in the official zune forums. I think you can get there from zune.net.
But yea, I have no idea. Those guys might.
Oh you will also need the Zune client. You don't need a subscription, but Visual Studio requires some of the dlls from the client to transfer the game to the device. Grab the client here.
There's tons of sample code floating around the intertron.