When selecting XML Data Source, the wizard lets you enter the URL where the XML file containing the email addresses is located. The URL type can be http or https and can be secured by a password.
In order to display an example of which format can be used with the XML Data Source Wizard, click here.
Note that if you want to retrieve data from XML file with a different format, you can use the DataSource Object in the Global Script (read more by openning the XML DataSource sample, File -> Open Sample).