For SEO purposes, having an XML sitemap is extremely important. An XML sitemap is a page of code which is downloaded onto your web server where your website files reside, and its purpose is to alert Google’s spiders of all of the pages of your site which exist. Without the sitemap, it’s possible that Google’s crawling bots may miss some of your pages, but the sitemap says, “hey, look here – here’s a list of all of the pages on my site that you should crawl.”
You can create an xml sitemap in minutes by going here: http://www.xml-sitemaps.com/
Once created, save it onto your computer, then load it via ftp to your server where your site is hosted. If you need help, your host company should be able to help.
It’s still important to have a standard HTML sitemap, though, since an XML sitemap is seen only by Google; a standard HTML sitemap would still be seen by Yahoo and other engines. For maximum exposure, have both; I’d just recommend putting the html sitemap in an inconspicuous place on your website, since it serves virtually no purpose to human visitors.