The easiest way to get writing your first XAML is to install Microsoft Visual Studio. This is avaliable free from Microsoft.
Once installed you can create a new project, of type WPF Application, either with a VB.NET or C# code.
This is similar to windows forms in the sense that you have a series of windows, the main difference being that these windows are written in XAML and are much more responsive to different devices.
Still needs improvment.