Edit: Just wanted to make the question I have more clear. I pretty much am having trouble seeing how something like Matrix.CreateTransformationZ works in the context of not only matrix multiplication but more importantly what this does to the screen space/world space so I can get a clearer picture. So maybe someone could alter the code or give me a short snippet to test out where I can use this to either rotate around an axis and/or orbit around the axis. I have also changed the example.
So I'm still kind of having trouble visualizing how matrices work with the xna screen space.
I'll give you an example:
public class Game1 : Microsoft.Xna.Framework.Game
{
    Texture2D shipTexture, rockTexture;
    Vector2 shipPosition = new Vector2(100.0f, 100.0f);
    Vector2 rockPosition = new Vector2(100.0f, 29.0f);
    int count;
    float shipRotation, rockRotation;
    float rockSpeed, rockRotationSpeed;
    bool move = true;
    const int rock = 0;
    const int ship = 1;
    Color[] rockColor;
    Color[] shipColor;
    float testRot = 0.0f;
    Vector2 shipCenter; int shipWidth, shipHeight;
    Vector2 rockCenter; int rockWidth, rockHeight;
    GraphicsDeviceManager graphics;
    SpriteBatch spriteBatch;
region maincontent
    public Game1()
    {
        graphics = new GraphicsDeviceManager(this);
        Content.RootDirectory = "Content";
    }
    /// <summary>
    /// Allows the game to perform any initialization it needs to before starting to run.
    /// This is where it can query for any required services and load any non-graphic
    /// related content.  Calling base.Initialize will enumerate through any components
    /// and initialize them as well.
    /// </summary>
    protected override void Initialize()
    {
        // TODO: Add your initialization logic here
        rockSpeed = 0.16f;
        rockRotationSpeed = 0.3f;
        base.Initialize();
    }
    /// <summary>
    /// LoadContent will be called once per game and is the place to load
    /// all of your content.
    /// </summary>
    protected override void LoadContent()
    {
        shipTexture = Content.Load<Texture2D>("Images\\ship");
        rockTexture = Content.Load<Texture2D>("Images\\asteroid");
        rockWidth = rockTexture.Width; rockHeight = rockTexture.Height;
        shipWidth = shipTexture.Width; shipHeight = shipTexture.Height;
        rockCenter = new Vector2(rockWidth / 2, rockHeight / 2);
        shipCenter = new Vector2(shipWidth / 2, shipHeight / 2);
        // Create a new SpriteBatch, which can be used to draw textures.
        spriteBatch = new SpriteBatch(GraphicsDevice);
        // TODO: use this.Content to load your game content here
        rockColor = new Color[rockTexture.Width * rockTexture.Height];
        rockTexture.GetData(rockColor);
        shipColor = new Color[shipTexture.Width * shipTexture.Height];
        shipTexture.GetData(shipColor);
    }
    /// <summary>
    /// UnloadContent will be called once per game and is the place to unload
    /// all content.
    /// </summary>
    protected override void UnloadContent()
    {
        // TODO: Unload any non ContentManager content here
    }
            /// <summary>
    /// This is called when the game should draw itself.
    /// </summary>
    /// <param name="gameTime">Provides a snapshot of timing values.</param>
    protected override void Draw(GameTime gameTime)
    {
        GraphicsDevice.Clear(Color.CornflowerBlue);
        spriteBatch.Begin(SpriteBlendMode.AlphaBlend);
        spriteBatch.Draw(rockTexture, rockPosition,
            null, Color.White, testRot, rockCenter, 1.0f,
            SpriteEffects.None, 0.0f);
        spriteBatch.Draw(shipTexture, shipPosition,
            null, Color.White, shipRotation, shipCenter,
            1.0f, SpriteEffects.None, 0.0f);
        spriteBatch.End();
        // TODO: Add your drawing code here
        base.Draw(gameTime);
    }
endregion
    /// <summary>
    /// Allows the game to run logic such as updating the world,
    /// checking for collisions, gathering input, and playing audio.
    /// </summary>
    /// <param name="gameTime">Provides a snapshot of timing values.</param>
    protected override void Update(GameTime gameTime)
    {
        testRot += 0.034906585f;
        // Allows the game to exit
        if (GamePad.GetState(PlayerIndex.One).Buttons.Back == ButtonState.Pressed)
            this.Exit();
        UpdateAsteroid(gameTime);
        RotateShip(gameTime);
        MoveShip(gameTime);
        // TODO: Add your update logic here
        CheckCollisions();
        base.Update(gameTime);
    }
    #region Collisions
    public Color PixelColor(int objectNum, int pixelNum)
    {
        switch (objectNum)
        {
            case rock:
                return rockColor[pixelNum];
            case ship:
                return shipColor[pixelNum];
        }
        return Color.White;
    }
    public bool PixelCollision(Matrix transformA, int pixelWidthA, int pixelHeightA, int A,
        Matrix transformB, int pixelWidthB, int pixelHeightB, int B)
    {
        Matrix temp = Matrix.Invert(transformB);
        Matrix AtoB = transformA * Matrix.Invert(transformB);
        Vector2 columnStep, rowStep, rowStartPosition;
        columnStep = Vector2.TransformNormal(Vector2.UnitX, AtoB);
        rowStep = Vector2.TransformNormal(Vector2.UnitY, AtoB);
        rowStartPosition = Vector2.Transform(Vector2.Zero, AtoB);
        for (int rowA = 0; rowA < pixelHeightA; rowA++)
        {
            // begin at the left
            Vector2 pixelPositionA = rowStartPosition;
            // for each column in the row (move left to right)
            for (int colA = 0; colA < pixelWidthA; colA++)
            {
                // get the pixel position
                int X = (int)Math.Round(pixelPositionA.X);
                int Y = (int)Math.Round(pixelPositionA.Y);
                // if the pixel is within the bounds of B
                if (X >= 0 && X < pixelWidthB && Y >= 0 && Y < pixelHeightB)
                {
                    // get colors of overlapping pixels
                    Color colorA = PixelColor(A, colA + rowA * pixelWidthA);
                    Color colorB = PixelColor(B, X + Y * pixelWidthB);
                    // if both pixels are not completely transparent,
                    if (colorA.A != 0 && colorB.A != 0)
                        return true; // collision
                }
                // move to the next pixel in the row of A
                pixelPositionA += columnStep;
            }
            // move to the next row of A
            rowStartPosition += rowStep;
        }
        return false; // no collision
    }
    public Matrix Transform(Vector2 center, float rotation, Vector2 position)
    {
        return Matrix.CreateTranslation(new Vector3(-center, 0.0f)) *
            Matrix.CreateRotationZ(rotation) *
            Matrix.CreateTranslation(new Vector3(position, 0.0f));
    }
    public static Rectangle TransformRectangle(Matrix transform, int width, int height)
    {
        Vector2 leftTop = new Vector2(0.0f, 0.0f);
        Vector2 rightTop = new Vector2(width, 0.0f);
        Vector2 leftBottom = new Vector2(0.0f, height);
        Vector2 rightBottom = new Vector2(width, height);
        Vector2.Transform(ref leftTop, ref transform, out leftTop);
        Vector2.Transform(ref rightTop, ref transform, out rightTop);
        Vector2.Transform(ref leftBottom, ref transform, out leftBottom);
        Vector2.Transform(ref rightBottom, ref transform, out rightBottom);
        Vector2 min = Vector2.Min(Vector2.Min(leftTop, rightTop), Vector2.Min(leftBottom, rightBottom));
        Vector2 max = Vector2.Max(Vector2.Max(leftTop, rightTop), Vector2.Max(leftBottom, rightBottom));
        return new Rectangle((int)min.X, (int)min.Y,
            (int)(max.X - min.X), (int)(max.Y - min.Y));
    }
    private void CheckCollisions()
    {
        Matrix shipTransform, rockTransform;
        Rectangle shipRectangle, rockRectangle;
        rockTransform = Transform(rockCenter, rockRotation, rockPosition);
        rockRectangle = TransformRectangle(rockTransform, rockWidth, rockHeight);
        shipTransform = Transform(shipCenter, shipRotation, shipPosition);
        shipRectangle = TransformRectangle(shipTransform, shipWidth, shipHeight);
        if (rockRectangle.Intersects(shipRectangle)) // rough collision check
            if (PixelCollision( // exact collision check
            rockTransform, rockWidth, rockHeight, rock,
            shipTransform, shipWidth, shipHeight, ship))
                move = false;
    }
endregion
    #region Moves_and_Rotations
    private void UpdateAsteroid(GameTime gameTime)
    {
        float timeLapse = (float)gameTime.ElapsedGameTime.Milliseconds;
        if (move == true)
        {
            if ((rockWidth + rockPosition.X >= Window.ClientBounds.Width))
            {
                rockSpeed *= -1.0f;
                rockPosition.X += rockSpeed * timeLapse;
            }
            else if ((rockPosition.X <= 0))
            {
                rockSpeed *= -1.0f;
                rockPosition.X += rockSpeed * timeLapse;
            }
            else
                rockPosition.X += rockSpeed * timeLapse;
            const float SCALE = 50.0f;
            rockRotation += rockRotationSpeed * timeLapse / SCALE;
            rockRotation = rockRotation % (MathHelper.Pi * 2.0f);
        }
    }
    private float RotateShip(GameTime gameTime)
    {
        float rotation = 0.0f;
        float speed = gameTime.ElapsedGameTime.Milliseconds / 300.0f;
        if (!move)
            return rotation;
        KeyboardState keyboard = Keyboard.GetState();
        if (keyboard.IsKeyDown(Keys.Right))
            rotation = speed;
        else if (keyboard.IsKeyDown(Keys.Left))
            rotation = -speed;
        shipRotation += rotation;
        shipRotation = shipRotation % (MathHelper.Pi * 2.0f);
        return shipRotation;
    }
    private void MoveShip(GameTime gameTime)
    {
        const float SCALE = 20.0f;
        float speed = gameTime.ElapsedGameTime.Milliseconds / 100.0f;
        KeyboardState keyboard = Keyboard.GetState();
        if (keyboard.IsKeyDown(Keys.Up))
        {
            shipPosition.X += (float)Math.Sin(shipRotation) * speed * SCALE;
            shipPosition.Y -= (float)Math.Cos(shipRotation) * speed * SCALE;
        }
        else if (keyboard.IsKeyDown(Keys.Down))
        {
            shipPosition.X -= (float)Math.Sin(shipRotation) * speed * SCALE;
            shipPosition.Y += (float)Math.Cos(shipRotation) * speed * SCALE;
        }
    }
endregion
}
}
I took this from XNA Game Creators, it's simply a method of doing Pixel Detection.
- In the Transform method above, matrix multiplication occurs against I guess a rectangle. What exactly is happening in terms of the screen space/world space? 
- Why is author multiplying the matrix by the inverse of another matrix? (He mentions that somehow this makes it relative to the other asset)