Do you know C#? If you don't, start there:
http://www.csharp-station.com/Tutorial.aspx.
After that you might want to check out my Alien Aggressors tutorial (82 page PDF) which is using XNA 2.0 for the PC, but most of the code is similar:
http://nick.gravelyn.com/2008/04/22/...s-tutorial-up/.
After that you could take a look at the Zune port of Alien Aggressors to find the changes made to work on Zune:
http://nick.gravelyn.com/2008/05/07/...-zune-edition/.
Otherwise check out all the other XNA tutorials out there. They aren't specific to Zune, but about as long as it's 2D, you'll be able to use it on the Zune without much (if any) troubles.