Unless you are writing a game for Windows, and you are loading unmanaged content, don't worry about UnloadContent. If all you are doing is drawing with SpriteBatch and maybe playing SoundEffect and Song objects, just forget about UnloadContent() for now.
For Update and Draw, when you are getting started with XNA, just think in your mind that the XNA Framework will automatically call Update, then Draw, then Update, then Draw... and so on. Are there exceptions? Yes. Do you need to worry about them when you are getting started? No, unless you are an experienced game developer already. If so, accept my apologies...
If your game uses Fixed Time Step, then it will delay so that this loop doesn't go faster than the time step. Windows Phone projects add in a line of code to fix the game to 30fps. You'll learn a little about that by doing nothing more than creating a brand new Windows Game project and then a brand new Windows Phone Game project. Look for the one line of code on the Windows Phone project that fixes time step.
The comment above to look at Shawn Hargreaves post is spot on. In fact, he is THE source if you want frank developer talk on the XNA framework. It's a few years of posts to go through, but that is a good resource.