Assumption: You are using Windows.

If sounds like you have nothing defined to view a .xml file so Windows doesn't know what to do.

If you have a .xml file on your machine (desktop or any directory) and you double click it, what happens? Does it open in some software program or do you get the "How do you want to open this file" pop-up from Windows? I'm guessing you get the pop-up, simply pick Notepad++ to open the file with and that should automatically set it as the default for all .xml files.

If you don't have a .xml file handy and don't want to create an empty one by renaming a .txt file, another way is to type into the search bar (in the bottom left on a normal desktop) the phrase "Choose default apps" and pick "Choose default apps by file type". Scroll way down to .xml and if you see Choose a default for the program associated to it, go ahead and pick Notepad++.

After that, PL/SQL Developer should work correctly for you when clicking the "..."

A XML file is basically a specially formatted text file. If all you are doing is viewing a XML file, then Notepad++ is sufficient. If you are editing the .XML file, then getting a program designed to edit XML files would be highly recommended.