This isn't really a visual studio issue, the program is for standalone applications that have already been compiled.
Also http://code.google.com/p/x360ce/ is an emulator for non 360 controllers by putting the files in the main folder, however it doesn't read in Visual Studio 2010's main folder, would i have to be more specific and put it in the main XNA folder?
Compile your game then dependant on whether you compiled in debug or release mode go to:
My Documents>Visual Studio 2010> Projects>[project name]>[project name]>bin>[either debug or release]
That is your games folder that you install x360ce in. You may have to manually copy you xinput.dll file which should be in program files on your hard drive somewhere.
I tried that program out, found I had about half a second delay on inputs whereas by actual 360 pad runs fine.
As for the actual 360 gamepads, its well worth buying one. £20 for a wired USB gamepad with the functionality and quality to match gamepads costing far more. Just can't really argue with it.