It is working now. Not sure exactly which of the steps I took fixed it, but I reinstalled Apache, upgraded to php version 5.16 and included zend optimiser, as I noticed the files are encoded, so I wondered if maybe it was just that my server was not decoding them.
I cant be sure if it was the installation of Zend that did the trick, or whether reinstalling apache fixed something else, but the main thing is, it works and I am glad, as while it was not working I tried various other types of sitemap generator, and I have to say that I prefer xml-sitemaps generator.