I believe this article will be of some help to you. It has sample code that will show you how to rotate the points on a rectangle but also show you how to use the separating axis theorem to detect collisions on a rotated shape (in this case your collision box). On a side note, the web site is also a great resource for learning XNA.
http://www.xnadevelopment.com/tutorials/rotatedrectanglecollisions/rotatedrectanglecollisions.shtml
One other solution might be to use a few points (instead of rectangles) that change when the animation changes. Then use those points to detect collisions. I've heard of storing these points alongside animation frame data in an .xml file. Might make for a simpler approach than using the separating axis theorem. Hope this helps. Good luck.