First step for windows development is like other type of developments i.e. Prepare your system for development
First step is to install Visual Studio 2010. If Visual Studio is not installed dot worry as Visual Studio Express in included in Windows Phone SDK.
Second step would be to download Windows Phone SDK. Goto following link to have more details about windows SDK
After you install Windows Phone SDK you will have new project template for Windows Mobile Development.
e.g. Windows Phone Application for Windows Application Development using silver light
Third step will be to get Window Phone Training Kit. You may download it from following link
There are few good tutotrial on Windows mobile development at following location