The sitemap.xml is a file that contains the URLs of a site.
With an xml file placed in the root folder of your site, you will be able to inform search engines (Google, Yahoo, MSN) about the URLs that can be seen in your site as well as the pages that have been recently updated.
At XML-Sitemaps.com (http://www.xml-sitemaps.com/), you can build the sitemap online for free. Just follow the simple steps and it will generate the sitemap for you.