Yes it has to be a xml file.
Are you sure your Windows is showing the file extensions ?
There is an option, which is set by default in Windows, that masks the extension of the files with known filetype. You should deactivate this option.
You have to go in the same screen that you used to show the hidden files, you know, in order to find the FSX.cfg. (you can't find the FSX.cfg when your hidden files and folders are still hidden by the system).




