"Do you suggest me that XML datas have to be stored as files ?"
No, what I'm saying is that XML is a way of storing data, much like how a database stores data. So if you are going to store XML in a database, it is like storing a database in a database, which makes no sense.
(XML itself is good for containing data, but it is very bad (very very bad) for data storage. You can't effectively use XML as an alternative for a database, it just doesn't work.)
The same thing goes for the XSLT layer, it is used to transform XML into HTML, but so is PHP.
So what you'd be doing is use PHP to get data from mysql and generate XML, which is fed to XSLT which then transforms it into HTML.
But you could also use PHP to get data from mysql and generate HTML immediately.
XML and XSLT are meant to be distributed, so everyone can interpret the data 'easily'. If you're the only one who uses the data, then save yourself a lot of trouble andforget all about XML and XSLT for now.