Bugs and feature requests for XNA Game Studio and for the whole http://*.xna.com/ website are handled using Microsoft Connect

If you haven't signed up at the Microsoft Connect Site, it couldn't be easier.

1. Sign in using your Windows Live ID or Passport account (if you haven't already).
2. If you have not used connect before you will be asked to 'Register for connect'
3. Choose 'Connection Directory' (its next to 'Your Dashboard') 
4. Scroll down. In the table that lists the various programs available, find  'XNA Game Studio', and then  choose 'Add to dashboard'
5. Choose 'Your dashboard'
6. From the dashboard choose XNA Game Studio

To Add a bug or feature choose 'Feedback' on the left menu or just goto this URL https://connect.microsoft.com/feedback/default.aspx?SiteID=226

Before you submit a bug or feature request, we ask that you search for it first. This helps reduce the amount of duplicate bugs we receive. If you find a duplicate, you can "vote" to make a bug or suggestion more visible to the team. This shows that multiple people have the same issue or suggestion.

If its not there then hit 'Submit feedback' and enter a new item.

What topics are worth submitting? Glad you asked!

• Web site issues or ideas.
• Bugs: Problems that you encounter while using the product due to an error in XNA Game Studio Express.
• Feature Suggestions: Features that you would like to see in the product or functionality that's missing that you believe should exist.

Note that BUGS can get closed as 'By Design'. If you want a 'By design' issue considered for a future version make sure you add it as a FEATURE not a bug and acknowledge that you know the current version is by design.

• Creators.xna.com bug report (web suggestions should be logged here too)
• XNA Framework Bug
• XNA Framework Suggestion
• XNA Game Studio Express Bug
• XNA Game Studio Express Suggestion

Which form you fill out depends on the type of feedback you have. For example, you may be able to identify the difference between a bug and suggestion, but how do you know which feature area to select for your bug? Consider that the XNA Framework deals with the API you use when coding your game, so if you are programming against the bug or feature request, it's usually going to fall under the XNA Framework. If you’re having problems using the Visual Studio templates or Starter Kits, your bug or feature request likely falls under XNA Game Studio Express—in other words, everything built on top of the XNA Framework. Don't worry too much about getting it perfect—it just helps us organize things.
 
While we can't guarantee that we’ll reply personally to every bug or suggestion, we can guarantee that we’ll properly review every bug entered.

I can't stress enough how important your feedback is . It guides us in the right direction and highlights problems you want to see fixed in future releases. This product is yours—help us make it the best it can be.

How to write a good bug
1. Give good details. Step by step repro and expected vs. actual results to that repro. "{x} doesn't work" will likely be ignored
2. Provide code to show the bug - you can upload a zip file or images. They are safe and can only be seen by Microsoft who will treat them confidentially
3. Make a thread in the forums and put a link to that thread in the bug. A forum thread alone is not sufficient to get a fix but a good discussion can help that bug stand out and remind the XNA team of something they may have discussed weeks before.
4. Be realistic, avoid hyperbole and try to avoid insulting the team you are asking for help. Remember there are tens of thousands of developers and you may be the only one with this issue. "This product is useless without this feature", "What kind of idiots wrote this" etc will likely be treated exactly as YOU would treat such comments against your code

I got an email about my bug being resolved or closed - what does the new status mean?
See this thread for details about how connect works and the resolution status