I've mentioned this before, but I think it is worthy of mention again (since I've just done it and it works really well). If you are running later versions of Visual Studio (2010, 2012 or 2013) you can now get XNA goodness onto your machine really easily. Download the files from here and then just follow the instructions in the readme. Once you have installed the four components, run the Visual Studio Extension file (don't do this first, that will end badly) and you can get a cornflower blue screen of your very own.

Marvelous.