Don't Push() your game states onto the stack all at once!
Just create a GameStateManager in your game's constructor and add it to the Game.Components collection.
Then Push() the game state your wish to begin with (typically called something like TitleScreenState or IntroState).
Game States are managed as a stack: If you Push() a state, it will "sit on top" of the previous one. When you then call Pop(), the state sitting on top will be taken off and the previous state becomes active again.
Depending on whether the Push()ed states are pushed with GameStateModality.Popup or GameStateModality.Exclusive, the states below will still keep updating and drawing (so GameStateModality.Popup is only useful if you have a small menu of something that doesn't
cover the whole screen).
Switch() is the same as calling Pop() and then Push(): It replaces the topmost state with something else.