With DirectX for Windows I could load them fine because I could use a Bitmap and just pull the binary data right from my files with all my art data in them instead of have 10,000 image files in a folder.
Is, or will there be a way to do that using XNA?
An image sheet being one image that contains the textures and images for much if not all of your game content?
If that is what you're are looking for, then yes, that is entirely possible and relatively easy to do using XNA.
Below is an example of drawing a particular rectangle from an image strip. In this example, mTextureStartX indicated where the start of that particular image was in the image strip.
mSpriteBatch.Draw(mTexture, new Rectangle(mSpriteX, mSpriteY, 50, 50), new Rectangle(mTextureStartX, 0, 256, 256), Color.White);
The first rectangle passed in to the draw deals with the location and size of the sprite on the screen, the second rectangle defines what portion of the whole texture (the image sheet/strip) you want to display on that sprite.
Hopefully that is what you were looking for, if not, please clarify and hopefully I or someone else will be able to help you out.
