And if you can, is there a link on how to do this?
If you are both playing the same game and you have implemented a chat AND you are using XNA Game Studio 3.0 beta ove Xbox Live then yes you can... GS2.0 did not allow you to use a chat mode becuase of the Xbox Live encryption. This is changed in 3.0 see http://blogs.msdn.com/shawnhar/archive/2008/10/01/senddataoptions-chat-in-xna-game-studio-3-0.aspx
I dont know of any code demos that implement this.