How do I create an XML Schema

If you want to use the XML Virtual Documents, you need to import an xsd (schema definition).

See docs, and see the "Import" button in your screen shot above.

Note there are other ways to work with XML in the product, depending on your use case. See also these docs.

Following the answer from @Tani Frankel you can generate XSD from XML with no problem, there are a billion of webs that you can use to do it (you just have to be sure that the XML contains all the tags required).