I'm working on a breakdown of the Spacewar demo game that comes packaged with the XNA beta.
The game is run by Spacewar Game.cs with a heavy reliance on the System and Framework files stored in the References directory of the game. I highly recommend using the Object Browser in XNA when trying to orient yourself in the project: a tree list expands through the files and summarized code within those files in a visual format. Helps also to see where System/Framework calls are going and what happens when they are called.
Spacewar Game.cs is where the general structure resides and is expanded below.
The main game file is Spacewar Game.cs. Below is a summary breakdown of the internal elements.