I had to apply a patch in order to get xmlsitemap working at all in my windows environment, I got an error:
Fatal error: Uncaught exception 'XMLSitemapGenerationException' with message 'Could not open file sites/default/files/xmlsitemap/NXhscRe0440PFpI5dSznEVgmauL25KojD7u4e9aZwOM/1.xml for writing.'
I found the patch to fix that here http://drupal.org/node/920062.
Once that’s done, keep in mind that you have to install the XML sitemap node module as well as the xmlsitemap base module for the site map to actually generate more than 1 link. After you’ve got xml sitemap node installed, you can include individual content types in the content type settings page – /admin/content/node-type/page.