... you could try it with Show Info from the Finder and check to see if you have the correct permissions to delete them (sounds like you don't at the moment).
And if all else fails open a Terminal.app window and go:
cd <the dir they xml files live in>
pwd
if the pwd command shows the directory in which the xml files are, then you're in the correct directory. This isn't strictly necessary, but its good to know where you are *exactly* before you perform the next step:
sudo rm -f *.xml
This tells the system to briefly give you super-user privileges (that's the sudo bit), then remove (the rm bit) forcefully (the -f option) all files that end in '.xml' (that's the *.xml bit)
You can adapt the above to delete all manner of things. Just make sure you *never* perform a sudo rm -Rf / unless you want to have to re-install everything
You can get detailed info on all the commands with the 'man' command:
man sudo
man rm
Hope this is of some help.
C