XNA Game Studio can be found at
http://creators.xna.comXNA is a framework that gives the developer resources, if that's what it's called, to make games using Visual Studio.
There are two versions available, I think. 3.1 and 4.0
With 4.0 you can make Windows Phone 7 games. With 3.1 you can create Zune games. I do not know if 4.0 can make Zune games as well.
It is capable of 2D and 3D games. The site also has some resources, along with other dev sites, so you can base your project off of it.
XNA games can be made for XBOX, and sold in the Marketplace, in the Indie Games section.
If you obtain a some sort of deal with Microsoft, you can sell the games in the Arcade section, and allow your game to have an "achievement" system. Which may boost sells.
http://en.wikipedia.org/wiki/Microsoft_XNA for info I may not have explained.
Sorry if I am taking spotlight off of SGDK, BlueMonk.
