The best thing to do is write a simple c# console application and explore these things in it. For example, make a class and name it how you want.
Then create an instance of that class in your program. Create two, then three just to see how your class definition is just a description of the class that is used to create them when your program runs. Better to work slowly and methodically by playing around with things rather than trying to make sense of everything before you start really learning.
You could maybe write a class called Animal and give it a "Walk" method that just prints out "Walking..." when called. Create couple of hundred Animals and then call each of their "Walk" methods to see them print out "Walking..."
If you can't do that, don't worry but just keep going over it until it clicks. The XNA blank new game project is more complex than this so it might seem less daunting.
BTW, inheritance in this case would mean you could create a Cat class and a Dog class and make them both inherit from the Animal class. Both the Dog and Cat class would then come with the Walk method built in, allowing you to re-use existing functionality already in the Animal class.