I am creating my first game, I'm using Blender to create character models, is there any tutorial or guide to tell me what steps to convert a model into something animated and usable in XNA?
Well Blender 2.5 (maybe 2.5x) can export fbx models which are used in XNA. It even has an "XNA strict options" check. I noticed that it tends to export the models a bit small so you may want to set the scale to 100 or so but otherwise it is good to go.
i just uploaded my first version of XNA.BLEND (https://xnadotblend.codeplex.com) - you can use to directly import blender files to xna