So it doesnt matter what XNA version because HLSL are always the same?
Well... yes and no.
First, most of HLSL that you'll likely be learning about (if you stay away from advanced stuff), you'll be able to use with XNA 4.0.
Second, from what I understand, XNA 4.0 supports up to shader model 3.0. [ Can someone confirm/refute that? ] That link should give you an idea what "shader model" means, It's basically a set of hardware and software limitations. Again - when you're just starting into shader programming, you probably won't have to worry about those limitations. Later on, when you want to use larger buffers, or more instructions, etc., you may have to check if your video card and XNA 4.0 support what you want to do.
As mentioned, which shader models can be used are determined by both hardware and software. I.e., some old video cards may limit you to lower version numbers. However, if you have a video card that supports the latest shader models, you may still be limited by whatever maximum shader model version XNA supports.
For now, I suggest you go happily along, trying out simple shaders, learning the language, and how to use shaders with XNA. Even if shader model 3 is the max you can work with, you'll still be able to do some really nice stuff.