In a windows application, you can create a new form and you can call that form by instantiating it inside the current form.
in windows phone app using XNA how can I do this? I want to create a menu page. then when a button from the menu page is clicked . it goes to another form .
I would recommend you that you should use an SLXNA project for your game and then you can handle the navigation between pages easily and you can use SL components and controls too.
SLXNA sample and tutorial
If you are looking to solve this only by XNA then i suggest you to look at the MSDN samples. They have MenuScreen integration and i think you are looking for this.
MSDN Code Samples and Tutorials
Catapult Wars Tutorial Game