Screenshot may help us understand the questions you are asking better.
1. What file are you trying to save as an .xml? How are you performing this action? Are you using a NiFi dataflow you created on the canvas within the NiFi UI? NiFi does not have a "file".. "menu/tool" bar.
2. NiFi was not designed to be a job tool. Processor components are generally started and left that way. A "running" processor will execute its code based on the configured "scheduling". Option exist in the scheduling tab of a processor to execute based on a timer or a cron. There is a third event driven strategy option which should never be used (experimental).
3. What video tutorial are you referring to? link?
4. When you say "processing", what does that mean? What is your use case?
5. NiFi has over 300 unique components (processor controller service, reporting tasks, etc...) which allow user of NiFi to do many things. These components come from many different contributors to this open source software. There isn't going to be tutorials for every component. It is best to provide a detailed use case for which you are looking for help with. Highly recommend you create a new question in he forum for each unique use case. different community members will have input on different use cases and you are less likely to get the assistance you need if everything is lumped in to one forum question.
Keep in mind that Apache NIFi provides rather robust component documentation embedded right inside the application. It can be found by clicking on the global menu icon in the upper right corner (looks like three horizontal lines) and then selecting "help". You can also go directly to a specific processors documentation by right clicking on a processor and select "view usage" from the context menu that appears.