The xml-file only consists of data, it is no executable.
Clicking it won't do much, unless you specified that all xml-files should be openen with a browser, notepad, etc.
Of course, you can put all kind of data in your xml-file, so could make something like:
<root>
<application>
<name>Word</name>
<dot>normal.dot</dot>
</application>
</root>
You would have to write a program (in VB, C#, whatever) to read this info, and take the actual action of starting the application.