Sorry about the lack of documentation - I hope the app is easy to pick up, but I do realise that documentation can still help.
.army files are saved armies - your actual rosters. The .system and .race that come with the download are sample data files that you can build an army from. Click "New Army" (either from the File menu or the "new" icon on the toolbar) and you'll get a list of available game systems and races, the option to set the size and give the army a name.
If you want other armies then Snowblizz's
Yahoo Group is the best source. Just download the appropriate .system and .race files and copy them to your data folder and the app should pick them up. I do have to give a general notice/disclaimer that you must be aware of your local laws, that some files may be deemed infringing and that we have no control over them, so use them at your own discretion, etc.
As for the lack of XML - it is all there, but it is packed away in Zip files with different extensions. If you want to know more about the files then we've got the
File Formats and
File Formats Explained pages (although the latter is a little out of date and new features have been added). While looking for those links I did just realise that they could be more prominent, though.
I hope that helps. Feel free to ask if you've got any more questions, or sign up to the dev site and submit tickets if there's anything you find broken or that you think could be improved in some way.