Digital Cinema Package, as the name suggest is a package of number of files that are needed to playback a movie on a cinema projector. Digital Cinema Package or DCP (in short) consists of MXF and XML files that are read by Digital Cinema Projector. MXF is the widely used format and XML files consists of some information related to the movie and it helps the projector to understand the contents of the package.
via How to Test Digital Cinema Package on your Home Computer.