Krioniq:Going into the directory where the .xnb file should be (something like ...Content\bin\x86\Debug), I find there is no .xnb file. In addition my tutorial tells me I should get some sort of output in the Build Output regarding the compilation of my .bmp into an .xnb, but I receive no such message.
That's not the right directory, so it's not unusual for the .xnb to not appear there.
The correct output directory is under the output directory of your *code* project. Something more like bin\x86\Debug\Content.
The Output window has several panes. If you start debugging, it will first build your game, outputting to the Build pane, then start debugging and switch over to the Debug pane. If you want to see the Build output after debugging, you need to switch to the Build pane. There is a combobox in the upper-left corner of the Output window where you can make the selection.
Make sure that the .xnb file that was built matches exactly the .xnb file that you are trying to load. Keep in mind that you should not specify the .xnb extension when calling the Load method.