So i started following these tutorials. As i have previous programming experience in other languages, i wanted to experiment a little so i tried to make a main menu in different class than the game but i dont really have idea how to connect the menu class to the main class.

Here is my code:

For main class:

using System;
using System.Collections.Generic;
using System.Linq;
using Microsoft.Xna.Framework;
using Microsoft.Xna.Framework.Audio;
using Microsoft.Xna.Framework.Content;
using Microsoft.Xna.Framework.GamerServices;
using Microsoft.Xna.Framework.Graphics;
using Microsoft.Xna.Framework.Input;
using Microsoft.Xna.Framework.Media;

namespace PowerGame
{
	/// <summary>
	/// This is the main type for your game
	/// </summary>
	public class PowerGame : Microsoft.Xna.Framework.Game
	{
		enum GameState
		{
			//which states we which to have
			MainMenu, Instructions, PlayGame
		}

		GraphicsDeviceManager graphics;
		SpriteBatch spriteBatch;

		MainMenu mainMenu;

		private Texture2D cursor_arrow;
		private Texture2D cursor_finger;

		public PowerGame()
		{
			graphics = new GraphicsDeviceManager(this);
			graphics.PreferredBackBufferWidth = 640;
			graphics.PreferredBackBufferHeight = 480;
			graphics.ApplyChanges();
			Content.RootDirectory = "Content";

			mainMenu = new MainMenu();
		}

		/// <summary>
		/// Allows the game to perform any initialization it needs to before starting to run.
		/// This is where it can query for any required services and load any non-graphic
		/// related content.  Calling base.Initialize will enumerate through any components
		/// and initialize them as well.
		/// </summary>
		protected override void Initialize()
		{
			// TODO: Add your initialization logic here
			base.Initialize();
		}

		/// <summary>
		/// LoadContent will be called once per game and is the place to load
		/// all of your content.
		/// </summary>
		protected override void LoadContent()
		{
			// Create a new SpriteBatch, which can be used to draw textures.
			spriteBatch = new SpriteBatch(GraphicsDevice);

			// TODO: use this.Content to load your game content here
			cursor_arrow = this.Content.Load<Texture2D>("guicursor_arrow");
			cursor_finger = this.Content.Load<Texture2D>("guicursor_hand");
		}

		/// <summary>
		/// UnloadContent will be called once per game and is the place to unload
		/// all content.
		/// </summary>
		protected override void UnloadContent()
		{
			// TODO: Unload any non ContentManager content here
		}

		/// <summary>
		/// Allows the game to run logic such as updating the world,
		/// checking for collisions, gathering input, and playing audio.
		/// </summary>
		/// <param name="gameTime">Provides a snapshot of timing values.</param>
		protected override void Update(GameTime gameTime)
		{
			// TODO: Add your update logic here

			base.Update(gameTime);
		}

		/// <summary>
		/// This is called when the game should draw itself.
		/// </summary>
		/// <param name="gameTime">Provides a snapshot of timing values.</param>
		protected override void Draw(GameTime gameTime)
		{
			GraphicsDevice.Clear(Color.CornflowerBlue);
			MouseState current_mouse = Mouse.GetState();
			Vector2 mousePos = new Vector2(current_mouse.X, current_mouse.Y);

			// TODO: Add your drawing code here
			spriteBatch.Begin();
			spriteBatch.Draw(cursor_arrow, mousePos, Color.White);
			spriteBatch.End();

			base.Draw(gameTime);
		}
	}
}

For menu class:

using System;
using System.Collections.Generic;
using System.Linq;
using System.Text;
using Microsoft.Xna.Framework;
using Microsoft.Xna.Framework.Audio;
using Microsoft.Xna.Framework.Content;
using Microsoft.Xna.Framework.GamerServices;
using Microsoft.Xna.Framework.Graphics;
using Microsoft.Xna.Framework.Input;
using Microsoft.Xna.Framework.Media;

namespace PowerGame
{
	public class MainMenu : Microsoft.Xna.Framework.Game
	{
		

		public MainMenu()
		{
			
		}

		protected override void LoadContent()
		{
			
		}

		protected override void Update(GameTime gameTime)
		{

			base.Update(gameTime);
		}

		protected override void Draw(GameTime gameTime)
		{
			

			base.Draw(gameTime);
		}
	}
}

The game should start in the main menu first.

you want to look at some gamestate tutorials:

http://xbox.create.msdn.com/en-US/education/catalog/sample/game_state_management

http://joebentleyonemansportfolio.wordpress.com/2012/10/04/enumgamestate-tutorial-xna/

Looks like i have to put all drawing code in one Draw function.