You wouldn't need multiple XML files. XML is hierarchical, so you could store an entire relational database with multiple tables and multiple relations between the tables in a single XML file. As suggested, the DataSet class has a method that will read such a file into a DataSet, just like you retrieved the data from a database. You can then edit the data as you like and call WriteXml to write the new data back out to a file. The simplest way to create such an XML file in the first place is to create a DataSet with the appropriate schema in code and then call WriteXml on it.
If the amount of data is too large then XML may be a bit inefficient. In that case a database would be the way to go. If all your users are on a network and can access one database then SQL Server would be a good option. If your users are unrelated then you could have them install SQL Server Express automatically as part of your app's installation. You could also use Access, as everyone has the components required to use MDB files as part of Windows. You could use SQL Server CE, which can be installed or you can deploy a library or two with your app. SQLite can also be used by deploying a library with your app. I've never used it but it's apparently quite quick and easy to use.