Windows Phone is most recent mobile operating system technology developed and maintained by Microsoft. Taking the case of Application development environment its SDK sets ahead of others. The Windows Phone Application Platform enables developers to create engaging consumer experiences running on a Windows Phone. It is built upon existing Microsoft tools and technologies such as Visual Studio, Expression Blend, Silverlight, and the XNA Framework.
Most recent version of Windows Phone is 7.1 RTW.
You can download SDK here : Windows Phone SDK
Installing : Its a simple hit and go method and you can get detailed instructions App Hub.
Keep in touch, soon we would be introducing some development tutorials here.