Using XNA Game Studio 2.0
XNA Game Studio 2.0 is where you write, deploy, run and debug your XNA games. It is based on Visual Studio 2005. If you have a version of Visual Studio 2005 already on your computer you can use that. If not, you can use Visual Studio 20005 Express Edition which is a free download.
You can't use Visual Studio 2008 as the basis of XNA Game Studio 2.0, but the two development environments can co-exist quite happily on the same machine.
A very good walkthrough of the installation of XNA on a machine can be found here.
There is also a guide to installing XNA and running your first program here.