Hey Elpram! I just fixed my problem, and I don't know if this will fix yours. Make sure you are using XNA 2.0 and not XNA 2.0 beta. If you are using the beta version, the Xbox won't find your session because the XNA on the Xbox is the final release. If you do have beta, go through the XNA 2.0 starting guide on this website to install the final release version.
I hope XNA will support the Project Natal camera in the future. Everyone, please push for this!