I don't have a tutorial currently walking you through building a menu, but I do have one covering screen states (this is what you would use to get your "Press Enter to Start" screen).
You can read through that tutorial here -> http://www.xnadevelopment.com/tutorials/thestateofthings/thestateofthings.shtml
I wrote the tutorial to ease people into understanding the Game State Management tutorial on the creator's site so hopefully it's helpful in getting you to understand the concepts.
