To build Xerces-C from it source (using MSVC), you will need to open the workspace containing the project. If you are building your application, you may want to add the Xerces-C project inside your applications's workspace.
If you want to include the Xerces-C project separately, you need to pick up:

xerces-c-src1_4_0\Projects\Win32\VC6\xerces-all\XercesLib\XercesLib.dsp
----------------
Tanyaa

Link Building