Install Silverlight for Windows Phone in Visual Studio 2010

Download SilverLight for Windows Phone

https://silverlight.codeplex.com/releases/view/60291

Start your first application

http://www.codeproject.com/Articles/104037/Build-Your-First-Windows-Phone-Silverlight-Appli

You will find these steps in below link

Follow these steps if you would like to continue using the Windows Phone 7 Developer Tools RTW

1. Install Visual Studio® 2010 RTM or Install Visual Web Developer 2010 Express RTM
2. Install Windows Phone Developer Tools RTW
3. Install Visual Studio 2010 Service Pack 1
4. Install the Microsoft® Silverlight® 5 Tools for Visual Studio® 2010 SP1

http://www.microsoft.com/en-in/download/details.aspx?id=28358

You can get all these from http://www.microsoft.com.

Or refer thse one also

http://mobile.dzone.com/articles/installing-and-using-wp7-tool

http://channel9.msdn.com/Series/Windows-Phone-7-Development-for-Absolute-Beginners/Installing-Visual-Studio-2010-Express-for-Windows-Phone

Thank You.