How do I create a Bolt?

Hi,
I'm starting out with XNA and I have now created the mechanic of my game. It's good, however it doesn't look fun at all. I only have boxes made by XNA.

Right now I want to a bolt, a player shoots this bolt towards the enemy and I was thinking it should look something like this:


However, I don't know where to start. I started googing and people mentioned quads, or drawing lines.

Can someone help me out and point me in the right direction?

Thanks in advance!

Best regards,
KF