Most presentations on XNA, including my own, start at File > New Project. There are tons of great ones around the web. Right now I would suggest Bill Reiss’ Intro to XNA tutorial, which is on Part 5 as I write this post.
The tutorial may seem focused on Windows Phone, but the technique of drawing a sprite, handling input, and playing sounds are key to all games, so it’s a good start and I’ll try to continue filling in the gaps for the questions I am hearing at my presentations.
If you have tried looking at my Circus sample that I use in my XNA talks, you’ll see I started with File > New Project, but this isn’t REALLY how you will want to structure your game. Use this wizard when you are getting started with XNA and just playing around. But when you decide you want to start looking at something with more features of a full game, start with the Game State Management Sample.
The Game State Management Sample drops you off at essentially the same place, with a game loop and a CornflowerBlue game screen that you simply start adding your code to, but it has all the basic structure of a game that you’ll want to at least consider when you’re thinking of publishing.