XNA provides a rich .NET based framework for building games, and supports development using C# and Visual Studio. The games you build with it can then be run on both Windows clients, and XBOX 360 consoles.
You can download the XNA Game studio express 1.0 from http://msdn.microsoft.com/directx/XNA/default.aspx or you can check this independent site -
This is free for download!!!
Explore the tutorials on XNA development www.xnadevelopment.com/ and learn how XNA uses .net Compact framework.
So, if you want some fun this X'mas go ahead and develop some games and impress your friends :)