Windows does not really have a feature such as linking folders. But there is a way you could achieve this on Vista and up.
You can create a new "library" (windows already provides libraries for Pictures, Documents, Downloads, Music, ...) and include all those xml folders in the library.
Here is a tutorial on how to create this library including a link on how to add folders to this library.
This library will be shown in "My Computer" in the Windows Explorer and is no folder on its own.
If you need it to be a folder, I'm afraid that there's now other way than creating a folder with multiple shortcuts in it.