Choose Add and select the XML schema. There you can import your XSD scheme. Now you only have to create a XML to Domain mapping and you are done.
Regards,
Ronald
What Ronald said -> Add the XML Schema.
If you want to "Create an XML Document", however, you need a Domain to XML mapping. Then, in a Microflow, you can use the Export XML action. In this action, you can are given the option to store the output in either a variable or a FileDocument.
The latter is what it seems you are referring to. Once the XML is stored on the FileDocument, you now have your XML doc.