A (double-) click in the Windows Explorer is not the only way to open a file. And it only opens the default application currently assigned to that filename extension, which does not need to be the best choice for editing its content. In your case, a game is assigned as default application to load XML files, probably as savegame? The programmer who programmed this default assignment should be shot in the foot...
With a right-click, you may already get a sub-menu in the context menu, under an entry like "Open with...". If this list doesn't contain any useful editor, add a new application to this list. The simple "Editor" (notepad.exe) may already be suitable. But there are more convenient text editors out there: ConTEXT, PSPad, Notepad2, Notepad++ ... even Microsoft's "XML Notepad 2007" specifically to edit XMLs with its tree structure.