The point of an XML sitemap is to list the pages within your site that you want the search engines to crawl. The idea is that by submitting a list of all your pages to the search engines, they can easily list the content you have on your site and it should ensure that no pages are missed out of the search engine results (URL indexing).
You can either create a site map manually, have one created and update by your website (using a bit of programming) or can have one created by third party software and upload it to your website yourself. Be sure when creating a site map that all URL’s are listed in the same way e.g all with the www.
Once you have created a site map you can upload this to Webmaster tools on Google which can speed up the process of the site getting indexed or the content getting updated in the search engine results pages.