http://forums.microsoft.com/MSDN/ShowPost.aspx?PostID=737860&SiteID=1

http://xnalearners.spaces.live.com/blog/cns!EE8B7B839E777F0C!440.entry - Web cast with example of embedding and project source code.

I’m really bummed that you can’t use windows forms and there is no GUI interface that works on xbox and windows that is pre-packaged with XNA. Also annoying that there is no real network support for the Xbox XNA kit except using the live system. Why can’t I connect to sockets from the xbox? It makes no sense.