Before you start you need to download and install the Windows Phone Developer Tools which includes:
- Visual Studio 2010 Express for Windows Phone
- Windows Phone Emulator
- Silverlight for Windows Phone
- XNA 4.0 Game Studio
The Windows Phone Developer Tools can be downloaded from Microsoft Download Center.
This is all you need to start developing Windows Phone 7 Series applications. Just start the Visual Studio 2010 Express for Windows Phone and select <new project>. Then you can choose between Silverlight and XNA and also different types of applications for each of them.