Get the latest, bug-fixed version (currently v1.2.0) from here!
If you already have .NET and XNA installed you can use the no-setup version:
Take this / Windows
Take this / Windows Phone 7 if you want to use the Application Deployment Tool
Take this / Windows Phone 7 if you want to use the "XNA Creators Club Game"-functionality
Take this / Windows Phone 7 if you want to (somehow?) install manually