There is an explanation above somewhere, but I don't really follow it. I didn't think MB used XML files but just read the database on the fly so not sure how to add.
Games are a little different to movies as you install them so you either have a games directory with all your installed games in it or use the default program files folder in with everything else and also game directories may have multiple exe files, which would create problems launching the correct one each time.
So.. What would be really useful if MB supported the shortcut extension. Then you could create a directory for Games anywhere on your PC, create folders for each game inside and then drop the corresponding exe game shortcut into each folder.
I created a uservoice for it here - http://videobrowser.uservoice.com/pages/3660-general/suggestions/228867-game-launching
I know developers want to concentrate on the video side but with podcasts, trailers and plugins media browser is getting a bit broader and if it's a only a relatively easy task to get PC games launching then it would be a nice inclusion.