To connect your first or additional cloud drives to your account. You need to have a cloud storage already set up; so that's an account with either Dropbox, Google Drive or OneDrive.
If you are in the Xara editor click on Documents at the top left corner, then Open and this will take you to the document file picker screen.
Once in the file picker, at the top row you will see your current connected cloud drives and also a button to add additional drives. Click on the Add cloud drive button and then select the drive you want to add.
You'll then be taken to the cloud provider's website to authenticate Xara to access your cloud drive and files. Once added, you'll then be able to click on the provider on the same screen to access your drive and files.