To use XNA Game Studio Express you need to have Visual C# Express 2005 installed as Game Studio Express is just an addon for Visual C# Express 2005.
Both are Visual C# Express 2005 and Game Studio Express are free and can be downloaded from Microsoft.
Visual C# Express 2005Game Studio Express 2005You can use XNA without Visual C# Express 2005, but you won't get the full feature set that GSE provides (such as Xbox 360 deployment)
The only requirement for XNA that is above the base requirements for Visual C# Express 2005 is that your graphics card supports Pixel Shader 1.1. In theory you could code away but you wouldn't be able to run what you make without PS 1.1 [smile]
So if you have a graphics card capable of shaders and WinXP with Sp2 (or Win2k with Sp4 or Windows Server 2003 with Sp1 or Vista) ...you should be good to go.
Naturally, most (if not all) of the above downloads require the Microsoft Genuine Advantage checks to pass. So if you've pirated Windows, Microsoft don't want to give you any freebies cause you've already got your (un)fair share [lol]
All the best,
ViLiO