There seems to be some confusion over how to get this set up for the Express version specifically. Using the Windows Desktop (WD) version of VS Express 2012, I followed the instructions in Steve B's and Rick Martin's answers with the modifications below.
"C:\Program Files (x86)\Microsoft Visual Studio 11.0\Common7\IDE\Extensions\Microsoft\XNA Game Studio 4.0"
, copy to "C:\Program Files (x86)\Microsoft Visual Studio 11.0\Common7\IDE\WDExpressExtensions\Microsoft\XNA Game Studio 4.0"
<Edition>WDExpress</Edition>
(you should be able to see where it makes sense)devenv.exe
with WDExpress.exe
"%LocalAppData%\Microsoft\VisualStudio\11.0\Extensions"
with "%LocalAppData%\Microsoft\WDExpress\11.0\Extensions"
I haven't done a lot of work since then, but I did manage to create a new game project and it seems fine so far.