Вот, пытаюсь сделать свою первую сетевую игру по книжке.
Какая книжка? Там работа с сервисом Live описана?
Сеть без сервиса Live:
Yes it is possible to develop a networking game for PC and you are not as limited as in the XBox, you can make your own communication system or use one of the available libaries out there:
There are more libraries to make it easier but those 2 are the ones i remember from the top of my head.
As for tutorials, first link will take a few to load but it is a good one:
There certainly are tutorials on how to do it. Personally I use Lidgren for my online prototype. I've only tested it with 4 people total and the server running on a low resource ubuntu vps, running on Mono, so I can't tell you how it will scale up but I'm sure others could.
For quick reading check out the site, http://code.google.com/p/lidgren-network-gen3/, you can read the wiki posts and google groups to get an idea of what others think of it.
The wiki posts on the main site have some basic tutorial-like posts but nothing too detailed. Or you can check out this site even and get a more detailed tutorial http://dirkkok.wordpress.com/lets-make-a-multi-player-game/. But this won't necessarily make you good at programming networked games, but it will certainly get you started.
If you are only targetting the PC, you don't need to use the networking functionality provided by XNA (which will tend to want Live profiles) -- you can use the standard networking functionality built in C# itself and roll your own networking layer entirely, or use a third party one.
Короче, используй что-нибудь не связанное со средствами XNA (проблем с версиями не будет, да и совершенно точно бесплатно : ) Это не запрещено.
Официальный пример для 4-ой версии XNA - http://create.msdn.com/en-US/education/catalog/sample/network_game_state_management