I installed VC# express and after that downloaded XNA Game Studio 4 from here and installed it. But I can't find any XNA template in my VC#. what's the problem?
If I recall correctly, installing XNA will create a new shortcut called "XNA Game Studio" under either the Visual C# Express group or the XNA Game Studio group in the Start Menu. Use that.
If that isn't the case, then the project templates should show up in VC# under New -> Project -> Visual C# -> XNA Game Studio 4.0.
And if that isn't there either, your installation must be screwed up somehow. Uninstall XNA, uninstall VC#Express, reinstall VC#Express, reinstall XNA.