The two files you get seem ok to me.
The .xml file is the save file from fwbuilder and the .fw one should be a shell script which loads modules, settings and the actual firewall rules.
Make the .fw file executable, for example
chmod +x firewall.fw
Then execute it as root
su -c './firewall.fw'
You should be prompted for the root password and after you enter it, the script will be executed. By now your firewall should be up and running. You can verify this, for example