The module prints an error message on admin/reports/status if the directory public://xmlsitemap was not found or is not writable…
There is also a link to a drupal.org site:
See http://drupal.org/node/34025 for more information.
But the linked site was deleted or moved somewhere else.
I don't know where the link should go, so I am not able to find the correct page to change it and write a patch to fix this…
thx
Nico