There are few different ways to install GCC-XML on your system:
If you use Linux, than I am almost sure your system has "gccxml" package.
Consider to install it using "native"(rpm, deb, portage) packaging system.
Another option is to install it from the source code. See instructions
provided by Brad King, the author of GCC-XML. Installation from sources
is supported for Windows, Linux and Mac platforms.
You can use GCC-XML installer created by me. Go to download page and get
"gccxml_installer.zip" file. You will find installation instructions within
the file. The setup is basically small Python script, which installs GCC-XML
to the specified directory. It works pretty well for me on Linux and Windows.
You don't have to download CMake build system or anything else.