The XML Paper Specification (XPS), formerly codenamed Metro and subsuming the Next Generation Print Path (NGPP) marketing concept, is Microsoft's initiative to integrate document creation and viewing into its Windows operating system.
XPS is shipped with Microsoft's Windows Vista. The file format is basically a Zipped XML file.
In both XP and Vista if you look in the Control Panel Printers you should find an XPS Printer pre-installed. To create these files you only need to use that printer for the output device. In Vista you should be able to just double click the file to open it in a viewer (this function uses IE 7 code and may not be configured automatically). Microsoft has a viewer XP users can download.