Creating a new XNA Windows Game Project has been re-written for the XNA 2.0 framework and posted to my site at XNADevelopment.com. I created this tutorial to make it easier to write future tutorials since I can just point people to this tutorial when I'm talking about creating a new Windows game. The tutorial covers creating your first Windows game and getting that beautiful cornflower blue to show.
Head on over and check out the tutorial, Creating a new XNA Windows Game Project.
Please feel free to leave me any feedback. All comments are encouraged and appreciated.