I currently have 2 apps in the Windows Phone Marketplace. If you do a search on the Windows Phone Marketplace on kathweaver, you'll find them. Both are very simple -- one plays a sound when you tap your finger on the screen, the other is a very simple accumulator. I have even updated the accumulator so have been through the process twice. Shockingly, there have been 28 downloads of that app.
First, you can find most of the resources you need by going to the App Hub at http://create.msdn.com/en-US/
You can find some more at Dreamspark. https://www.dreamspark.com/
I'll start with Dreamspark. You can sign up as a teacher on Dreamspark, and get codes for your students. This gives them access to Visual Studio and lots of other good software, including everything you need for the Window Phone. So of course, you want to test the experience for your students. Create a code for yourself, and sign up as a student. This will give you a developers code (and it will also give THEM a developers code), so you can put apps in the Marketplace. That's how I did mine. By the way, it only costs $99 to get a “real” developers code, which I plan to do soon.
There is a really good program called My School App, that takes very little changes to customize for your own school. I was able to set it up in about 30 minutes with lousy art work. It's at http://myschoolapp.codeplex.com/ and has very good directions. It also is well documented and comes in a C# version and a VB version. It shows how to write apps that display web pages, use locations, and Bing Maps. It's very cool and has already been submitted through the market place so does things right. I am leaving it alone right now as I want one of my students to do it.
Windows Phone does things in two ways: You can either program applications in Silverlight or you can program in XNA. Both are pretty easy to pick up and both are free. VB limits you to Silverlight. C# which looks just like Java, allows you to do both.
There are lots of tutorials, do a search on WP7 Dev and you'll find stuff.
Why does Microsoft make this and XNA (Xbox programming) free? So people will buy hardware.