To create a new XAML or a Page UI for Windows Phone in Visual Studio, there are 2 ways to do this.
Highlight the project name in the Solutions Explorer and do the following:
- right click project name
- choose Add > New Item menu item
- then choose either Silverlight for Windows Phone or XNA Game Studio
- then choose what kind of Windows Phone Page you plan to use
These should give you a new page to work on plus that accompanying XAML file and its code behind C# file.