So I’ve had a bit of a look at the XNA Game Studio Express, and from what I’ve seen it does to DirectX what GLUT (and its alternatives) does for OpenGL, except with some bugs. Well, it is a beta; and besides, most of those I’ve encountered so far have easy workarounds.
It looks pretty good. Basically it takes care of setting up the window and the runtime loop and gives you Update() and Draw() functions to work with initially. Naturally, you can take full advantage of C# and OOP.
It’s useful for what it is, and a worthwhile thing to have around, particularly if you don’t much care for the hassle of setting up a DirectX window yourself.