When you're building your NAnt files, you want to have some separation between the different parts of the build process. Not only is this good for keeping things clean and clear, but it also means you can choose to run separate parts of the build process, should you wish to.
NAnt is like a big, automated toolbox of useful functions. It works by reading XML configuration files which tell it what to do.
The term 'Continuous Integration' is thrown around a lot at the moment. It's one of a series of buzzwords used by "the agile community". These members paint a picture, a beautiful dream of perfect software development, of war rooms with plenty of space, whiteboards everywhere and separation from the noise, smells and politics of the rest of the company.