If you don't have the structures, create the Source or Target structure of the XML file by going to Sources or Targets menu and selecting 'Import XML' and follow the steps
Follow the regular steps you would do to create an ordinary mapping/session.
In the session, you've to mention the location and name of source/target.
Once the session is success, the xml file will be generated in the specified location.
How to load data to target where the source and targets are XML'S?