On the App Hub, there is a very old sample that walks you through 2D collision detection from simple bounding boxes to pixel-tested on rotated and scaled sprites.  It has been fully updated to 4.0.  The whole series is worth a read if you are new to the topic.

http://xbox.create.msdn.com/en-US/education/catalog/tutorial/collision_2d_perpixel_transformed

I also found Riemer Grootjans approach interesting in his 2D shooters game.
http://www.riemers.net/eng/Tutorials/XNA/Csharp/series2d.php

(It takes him a little while to get to it... http://www.riemers.net/eng/Tutorials/XNA/Csharp/Series2D/Coll_Detection_Overview.php ... but you may want to follow along to see the problem he's solving)

But I caution you that Riemers sample is not XNA 4.0 and you may have to do a little work to get it running.  It's not difficult or mysterious work, however.