Login into your site's backend and go to Components->Xmap
You should see a form to enter the info of your new site map. Enter the title and an alias (optional), specify any intro text that should be displayed at the top of your site map (optional), select the menus you want to include and click on save. Don't forget to publish it.
Don't be afraid to play with the options, click on the Options tab to see some extra settings for your site map.