You need:
gzip -cd xml-sh.tar.gz |tar xv
just cd into xml-sh and run make.
$ cd xml-sh
$ make
and you should be done. Now, you can simply copy the file
xml-sh wherever you prefer.
Keep in mind that xml-sh is really simple... you shouldn't have any problem compiling it once all the prerequisites are satisfied. It actually took me longer to write this document than to hack xml-sh. Have fun!