So lets get started on a little project. I am going to start writing about how I came up with an idea for a Windows Phone 7 app, started a little simple design, programmed it, tested it, and then released it to the marketplace. My app is currently going though the approval process so I hope to have it published soon.
Before you even start, you need to have the right tools. The first and most important tool you will need is the Windows Phone 7 SDK that comes with Visual Studio for Windows Phone which you can download at the apphub (http://create.msdn.com). Download and install that then the next thing I suggest you download is the Silverlight for Windows Phone 7 toolkit. (http://silverlight.codeplex.com/)
Download and install those, While doing that some suggested reading is on the apphub like http://create.msdn.com/en-US/education/basics/developer_resources and you can view some sample code at http://msdn.microsoft.com/en-us/library/ff431744.aspx
If you want to get started developing Windows Phone 7 app, or even just getting started into some C# programming, download the WP7 SDK and start reading.