XML problems for Header Slideshow

I’m pretty new to wordpress. I’m very quick to learn, so I’m up for a challenge. I know what XML is, but where do I find it? Do I need to invent it myself? Or is there a set code?

Once I have it, and modify it so my picture info is there, where on my FTP should I upload it to? The plugin wasn’t showing up on filezilla under……

( /public_html/wp-content/plugins )

help!

Thanks

http://ww.wp.xz.cn/extend/plugins/header-slideshow/