There's a whole set of webcasts on MSDN now that teaches the basics of game programming in C#, you can find them here.

http://www.microsoft.com/events/series/msdnvideodev.mspx

I always emphasized that there's no better way to learn programming than to learn it by doing game programing, why? Simple concepts that you need to make a game include

• Object oriented design
• Data structure design
• Finite State Machine concept

and much more. If anyone can come to terms with making a simple game, even one such as Space Invaders that person basically already has the foundation of becoming a good programmer. ;)