How do I create the Projects.xml file?

Because the XML data is just a text file, you can manually create it in any text editor. Like any xml file, it is important to make sure the file is well-formed. You can export your project XML from Klok on the preferences screen and use that to start. The only modification you would need to make is to the remoteId attribute. The value should be a unique identifier in your organization. It may be the same as the project code. The Klokwork Team Console can export this file for you as well.