First, you need to go to File->Record. Zoom into the area you want to render and when you're done, select File->Record again to stop. This will create a .xaf file which stands for XaoS Animation File. You can use File->Replay to verify that the animation is as you want it. If you want to tweak the file, it is just a text file that can be edited with any text editor, and the commands are documented here:
https://github.com/xaos-project/XaoS/wiki/Reference. Once you are happy with the results, you can render a series of png images using the File->Render command. The rendered png images can be combined into a video using ffmpeg or mencode by following the instructions here:
https://github.com/xaos-project/XaoS/wiki/Encoding-Videos