XP Stands for Experience Points - these are collected after each game you play, regardless of the final outcome.
When you collect enough XP, you will gain a level. All cities have level restrictions; if you're not a high enough level, you can't play in that city yet. The more cities you unlock, the more Coins you can win!
You can see your progress towards the next level on the Who Wants To Be a Millionaire home screen, in a circular progress bar surrounding your current level.