Microsoft may have long-retired XNA, its .NET-based game development framework, but it's still very much supporting games developers. Last year it released the Community Edition of Visual Studio, essentially a "full version" of its programming IDE for hobbyist and professionals alike, as well as Unity Tools for Visual Studio. Now it's partnered with Epic, Unity and Chukong Technologies (Cocos2d) to more deeply integrate these technologies into Visual Studio.
Integration, in this case, is the option to "co-install" Visual Studio when you grab Unreal Engine, Unity or Cocos2d and vice versa, as Microsoft's John Montgomery explains:
The gist of the partnerships is that these three gaming platforms will provide an easy way to install Visual Studio Community, and Visual Studio will have an easy way to create games on these three platforms.
The partnerships, as it were, aren't in force yet — you'll still have to download each tool separately, but it does pave the way — hopefully — for more seamless development with Visual Studio and the aforementioned middleware. Unity already has debugging taken care of, but I'm not sure how (or if) this will eventually extend to Unreal and Cocos2d.
For now it doesn't mean a great deal, but it's good Microsoft is working with these companies to make games development smoother on Windows and Xbox One, without interfering with the ability for studios to deploy on the likes of PlayStation, OS X and Linux.