Since I am not familiar with shaders at all - I recommend this approach:
Create a texture in your favorite editor whether it be GIMP or Photoshop. Leave some sort of radial transparency in the center of the image so the player can actually see what he/she is doing amidst the red bordering the edges of the screen. Add that image to your XNA project, and scale it to fit the screen(or your players HUD - however you want to do it). When you get hit or get fall damage you simply display the image.
If you want to get fancy I would suggest using an alpha value to fade the image in based on the amount of damage you are taking. You should also have some sort of cool down factor so the image wont stay on the screen for long. Let us assume your player gets hit with a weapon that causes about 20% damage. Well you should "fade in" that texture's alpha to your desired X value based on the weapon that just hit them. You would then start the cool-down timer which fades the image away at your desired Y amount. The timer will reset itself again if the player gets hit. You may want to add some sort of delay on this timer.