XeLaTeX is XeTeX with LaTeX macros. XeTeX is a useful aid in LaTeX document production as I allows you to use the systems fonts and not breaking your back while trying to make a font work in LaTeX.
To make it work in TeXMaker that I use now I simply changed the
[..]\MikTeX 2.9\miktek\bin\latex.exe option in the command options of the program with
[..]\MikTeX 2.9\miktek\bin\xelatex.exe which was already there!
Simple as pie. Other things that should be taken care off (but usually are set that way) is the character encoding set to UTF8 and the quick built should be changed manually to :
xelatex %.tex|"PDF_reader" %.pdf
Where PDF_reader is the path to the executable program that opens the .pdf files (mine was adobe reader). That is needed as the XeLaTeX does not produce .ps files but only .pdf…
Reading for it I found out that apart from MiKTeX there is an alternative compiler for windows called TeXLive. It also supports XeLaTeX so I guess the procedure to set it up is similar.