I'd recommend throwing out the notion of writing a zune game until you first learn some fundamentals of C#. Once you understand writing code in C# you can learn the XNA framework and start writing zune games. You've got a long (but enjoyable) road to that point.
I think most programmers here can't point you to a single thing that taught us how to "code the games". Its an ongoing process of continuous learning.
The web is a great resource for tutorials, but the problem is it is very difficult to find a gradual learning curve. You can find good information on various topics but with little structure tying them together making it difficult to learn from. Therefore I'd second the notion of finding a book or person to teach you.
As far as book recommendations, for someone with no programming knowledge I think the
Head First series is quite well done. Lots of pictures and silly antidotes to keep the you entertained. The only downside are the poor reviews saying there are too many errors in the book. I'm not sure if there is an updated revision that fixes these errors.
(edit: After looking at the errata on oreilly's website it seems the errors have been fixed after "September 15, 2008 reprinting". So I'd recommend the book as long as you get a later printing. Or check out your library and see if it matches your learning style)
Here at amazon