When working with XNA, everything (even 2d primitives) have to be expressed in a way that a 3d card can understand, which means that a line is just a set of vertices.
MSDN has a pretty good walkthrough here:
http://msdn.microsoft.com/en-us/library/bb196414.aspx#ID2EEF
You’ll find that it takes more code to render a primitive line than it would take to just setup a textured quad and rotate that, since in essence, your doing the same thing when rendering a line.