If you've obtained a .xml file containing card data, you can now import it into Cockatrice. It is assumed that you've already installed Cockatrice and run it at least once.
Open Cockatrice. From the menu, select Card Database → Add custom sets/cards.
Cockatrice will open a file dialog and ask you to select an XML file. Find the .xml file that you saved, and select that. Cockatrice will attempt to add the card data to your local card database.
If the import succeeds, Cockatrice will ask you if you want to enable the set. Choose Yes. You will probably need to restart Cockatrice to see any changes.
Once you restart Cockatrice, you should be able to search for and find the cards you've imported. You can now add them to decks, and play games with them.
This isn't intended to be a full guide to Cockatrice, but here's the basics: Cockatrice is two things, a deck builder and a game client. When it starts up, you should see it in deck builder mode. Here, you can search for Magic cards and add them to a virtual deck. When you're done building your deck, save it by going to Deck Editor → Save deck as....
To actually try out the deck you've made, you need to start a game. If you just want to test out the deck by yourself, you can start a single-player local game by going to Cockatrice → Start local game..., and selecting "1" for the number of players. This will take you to the deck selection screen. Press the Load local deck button and find the deck file that you saved. You will be shown a preview of what your deck looks like. Finally, click Ready to start. This will open a virtual playmat and allow you to try out your deck.