This should answer your question: www.gamefromscratch.com/post/2011/08/04/I-want-to-be-a-game-developer.aspx
I personally use C# with SharpDX, because I´m not sure about the future of XNA. But you could use Unity3D with C#: http://unity3d.com/
C++ has Ogre3D, Allegro, SFML, ... as far as i know
If you know your language, you should start writing 2D games like Pong, Space Invaders, ... Don´t rush to 3D and don´t think about programming a (m)morpg. This are some hard tasks wich need experience.
If i get your situation right, then you didn´t do anything wrong.
XNA should be installed fine. You should go through some tutorials to get started.
In your Visual Studio, you can make a New Project and there should be something with XNA Game or something like that.
I tried SharpDX the last couple days and have to say that it fells nice, but the lack of documentation is a bit of a problem. But with the samples and the tutorials wich are there you can make a 2D game without big problems.
C#: you get a simple pong game after 2 weeks if you want to. its easy for a beginner and a good starting point for lerning C++ layter on if you relly need to.
C++: more complex, but harder to learn, especially for a beginner nothing i would recommend. but it is not impossible.
Long story short: The language isn´t that relevant. It´s important to stick to one language and learn it. you have to get used to it. going to another language is really easy if you already know a language.
I personally recommend starting with C#
When you got some more experience you will know what to do next. Keep coding and practicing. Read one or two books and make some small games.
And don´t Rush to 3D to fast
I started programming a year ago with Pascal (Lazarus) and moved then to C# to make some Windows Phone 7 apps.
I made some small apps for companys, but now that I got some experience I want to start coding my first small 2D games.
After some games I will try myself on a paid game-app.
With this as my clear and not to high goals I searched for the best Framework to choose and remembered XNA. It´s relativly easy to use and C# is my language of choice.
But how is the future of XNA? MS removed it from VS2012 and that makes me curious. I wouldn´t call it dead or nearly dead, but I don´t want to learn a "dead" Framework.
It seems like I´m forced to C++ and DirectX or other Engines /C++ and DX in case of apps)
Is XNA still worth learning?
Or do I have to switch to C++?
What other choices do I have?