Games written for the XNA target will be able to run on Windows, XBox360 and Windows Phone 7.
MSBUILD_PATH var in your trans config file must be correctly set to use the XNA target. Please see the trans tool for more information about the trans config file.
To be able to download XNA programs to the XBox360 or Windows Phone 7, you will need to join Microsoft's developer program which currently costs about $100USD per year. However, you can still develop XNA programs for Windows free of charge, and run XNA programs on the Windows Phone 7 simulator.
To create a Windows Phone 7 project, you'll need to manually 'Create Copy of Project for Windows Phone 7' from within VC#2010 - right click on the 'MonkeyGame' project in the solution explorer to do this. Do this for the XNA project in your '.build' directory, not the project in the 'targets' directory.
To modify the size and settings of the XNA game window, you will need to modify the file Program.cs in the '.build/xna/MonkeyGame/MonkeyGame' directory.