To install plugin you need:
1) Copy indentxml.py to <Sublime Text plugins directory>\Users. If you are not sure where is it located start Sublime Text and open Preferences -> Browse packages... In dialog opened you could copy path to plugins directory.
For Windows 7 it is usually %APPDATA%\Sublime Text 2\Packages\User
2) Add key binding in Preferences -> Key bindings... like
{ "keys": ["ctrl+k", "ctrl+f"], "command": "indentxml" }
3) Done, now select XML and press Ctrl + K, Ctrl + F