The point of having independent object files vs. one monolithic file is the same reason why you don't have to copy and paste the source code of Direct X into every program you write...This is a procedural developer's mindset. As you learn and become familiar with the concepts of OO (and it seems you're leaning that way if you downloaded C#), you'll see the method to the madness :)
Well that's me mildly patronised! :P I'm not a fan of applying the OO mindset universally as it happens (if for no other reason than this.whatever looking so damn ugly), but that's got nothing to do with my complaint. If I were looking at learning a procedural language I'd want a similar thing... a small, single file example to ease me in regardless of the fact that in the real world it'd be Include City. The complexity of the Spacewar project is fairly ridiculous given what it does - surely a C# issue rather than an XNA one, yeah, but then they are tied at the hilt.
Isn't this the classic problem with reading and deciphering OO source?