You can load any .xml file in the demo version.
Does the .xml reference a custom screenset that you don't have?
To load Mach3 with a specific xml file, change the target on the desktop shortcut to:
C:\Mach3\Mach3.exe /p xmlfilename
Do not include the extension in the xml filename, and make sure the xml filename does not have spaces in it, or it won't load.