If you haven't looked at it already, the best starting point is the tutorial on playing sound effects. In particular, note that (near the bottom) you can check to see if a sound effect is still playing, or if it has stopped. You can check that in your Update method (though I'd recommend pulling all of that logic out into its own class, or at least its own method, and calling it from the Update method).
One option to consider is to raise a "sound finished" event when the sound ends, and then start the next one going in an event handler.
Alternatively, if you want the sounds to play at specific times or specific intervals (as opposed to just one after) you can do it based on the GameTime object that is passed in to the Update method. Specifically, the total game time (gameTime.TotalGameTime). You'd probably save the TimeSpan object that represents when the sequence started, and in any given update, if the amount of time elapsed since that initial time is long enough, you'd start the next sound in the series.
That's kind of vague—let me clarify a bit. gameTime.TotalGameTime is the total amount of time since the game started up. Let's say you want to start one sound per second. When you're ready to start the sequence, you would grab gameTime.TotalGameTime and store that as the time you started playing your audio sequence. Let's say that's at 15.43 seconds. Every update, you'll grab the current total game time, and then subtract the sequence start time from it. This would give you the elapsed time since the start of the sequence. At 16.43, this will have been 1 second, and you can start the second sound playing.
Hopefully, that's enough to get you started. If you're still stuck, I'd love to help further, just let me know what direction you're planning on going with it.