DragonShaolin:I thougt I can connect my Xbox with my network cable and connect with Visual Studio to my XBOX and start developing.
You can. You download the XNA Game Studio Connect app from the Marketplace. The Zune automatically runs that, but you have to go out and download it for the Xbox. Once you have that (and are running it), you just deploy from Visual Studio like you do from Zune.
But yes, you do need an internet connection and you have to have a subscription (either the $49 4 month or $99 12 month) to deploy to the Xbox 360.