No, your question is fine, but a more exact solution can't really be provided without having an XML file and an XSD file to look at.
In the example that ships with the MSXML library the HTML is being generated using an XML stylesheet, which has an .xsl extension. An XSL file and an XSD file are two different beasts. The XSD file is used for validation, while the XSL is used for output. In the example if you change, for example, the XML file to say, change the name of one of the tags in one of the records, and set the "Validate and show errors when loading" boolean on the front panel of the example VI and reload the XML you will get an error telling you the XML file is malformed. This is just coming from the "MSXML Validate XML" VI.
If you're having problems creating an XSD file perhaphs looking online at some XSD sites might help:
google search.