Prima di tutto è necessario avere Visual Studio 2010 SP1 installato.
1. Poi installare XNA Game Studio 4.0. Il modo più semplice è quello di installare l’SDK di Windows Phone 7,1 che contiene tutto il necessario.
2. Copiare l’estensione di XNA Game da VS 10 VS 11 con (può variare se é un computer x64 con percorsi predefiniti): xcopy / e “C: Program Files (x86) Microsoft Visual Studio 10.0 Common7 IDE Extensions Microsoft XNA Game Studio 4.0” “C: Program Files (x86) Microsoft Visual Studio 11.0 Common7 IDE Extensions Microsoft XNA Game Studio 4.0”
3. Aprire il file “extension.vsixmanifest” nella directory precedente
4. Aggiornare la versione del prodotto supportato in modo che corrisponda alla nuova versione: VSTS VSTD Pro VCSExpress VPDExpress 5. Potrebbe essere necessario eseguire il comando di Visual Studio per attivare le nuove estensioni che sono disponibili: “C: Program Files (x86) Microsoft Visual Studio 11.0 Common7 IDE devenv.exe” / setup Prove fatte solo per giochi su Windows Games, non su Xbox o WP7.

UPDATE (Other usefuls steps):

run this : http://www.xbox.com/en-US/LIVE/PC/DownloadClient

OR

Download the zip file and unzip it somewhere. You should see an executable called XNAGS40_setup.exe and a folder called XNA Game Studio 4.0
Open a command line and navigate to the folder that contains XNAGS40_setup.exe – then run XNAGS40_setup.exe /x . You’ll be asked to enter a folder. It’s probably easiest if you create a new empty folder. This folder is temporary and can be deleted after you are done.
Go to the temporary folder and run redists.msi
Run the MSI at %ProgramFiles%Microsoft XNAXNA Game Studiov4.0SetupXLiveRedist.msi
Run the MSI at %ProgramFiles%Microsoft XNAXNA Game Studiov4.0RedistXNA FX Redistxnafx40_redist.msi
Run the MSI at %ProgramFiles%Microsoft XNAXNA Game Studiov4.0Setupxnaliveproxy.msi
Run the MSI at %ProgramFiles%Microsoft XNAXNA Game Studiov4.0Setupxnags_platform_tools.msi
Run the MSI at %ProgramFiles%Microsoft XNAXNA Game Studiov4.0Setupxnags_shared.msi
Copy folder XNA Game Studio 4.0 provided in the zip file you downloaded at the start to C:Program Files (x86)Microsoft Visual Studio 11.0Common7IDEExtensionsMicrosoft
Go to the temporary folder you extracted to in step 2 and run the MSI named arpentry.msi
Open a cmd window and run “C:Program Files (x86)Microsoft Visual Studio 11.0Common7IDEdevenv.exe” /setup
Delete the temporary folder you created, as well as the zip file and the folder you extracted that to. You don’t need those any more.