Unlike Windows Forms there are no built in UI components in the XNA framework. There are several solutions to this:
- Most engines have UI elements in them so check those out: What XNA based game engines exist?
- If you are looking for windows only editor type functionality then consider using XNA in a windows form and using standard windows GUI. You can also use Awesomium to render Web/HTML UIs into your WINDOWS XNA apps (will not work on Xbox).
- Most games don't really need rich GUI functionality. A few textures, some spritefonts and a bit of code is all you need for menus and scores.
But if you insist on a full GUI package then here are some 3rd party solutions.
- OrbUI - 27 controls, 3.1 and 4.0 support on PC and Xbox
- Squid - includes renderers for XNA 3.1 and SlimDX
Reported old/broken/just here for reference