One thing though before I try to sort out the rest: you are aware that this model has no skeleton or bone data, it's as good as a statue unless you plan to rig it.
So you're using newer Blender I assume. Good. Not sure how newer export plugins would create redundant files, but that's unimportant. For starters, try to export only in .mesh format.
What's more, when opening freshly exported, untextured file in XPS it's gonna spew lotta warnings on you and creating "dummy" missing textures (or none, because mesh names aren't properly formatted, which happens more than often), because there's no way to properly texture a raw model like this in Blender. Texturing has to be done from XPS or from text editor (if exporting in uncompressed .mesh.ascii format).
If you're opening .mesh model in XPS via drag&drop folder or via File>Add model, the file must be named generic_item.mesh (where .mesh is an extension), but when you drag&drop single mesh file, name has no meaning.
So; after uploading the file on XNA, I could go to material editor and just manually insert the materials into their corresponding places?
Basically. You should get used to it fast, but you need to either look for other models for examples or look up for render group table. Since you're starting from basics, it would be good to get to know that, see what textures are used to get specific result, how to set specular intensity value, how to get transparency, etc etc.
But I see that this model has many optional parts (two different jackets for example) and some meshes uncomfortably split into many small parts AND named in very inconvenient (every mesh part can have a name) way, you might wanna try to sort that out in Blender. Of course you can rename parts in XPS with material editor to join them in Blender later, but I'm sure jumping between programs few times (which is sometimes necessary for porting or testing purposes) will confuse you too much, so either XPS of Blender, focus on what and where you want to do.
Ok, now forget what I just said. If I start listing you all the basics and options, I'd spend days on writing this post. You will find much info here on the forums, or just ask things and we will point you to answers if they're here. Eventually someone with simpler train of thought might bite the topic from some other, simpler side, because I'm kinda chaotic like that.
I would advise focusing on XPS for starters. Since that obj can be opened up, start texturing and naming there. That material editor has tooltips showing if you hover mouse cursor over certain elements. You might encounter some errors and popups. Tip: apply render group first, let the program create dummy textures, then replace them with correct ones - otherwise you will get errors and you will get confused about all this. XPS is by no means foolproof, it can bork when you click wrong stuff.
To change scale, insert numerical value into control window "Scale" line. 0.04 will be ok for this one, close to XPS's optimal size. The things with jackets, you can set items as optional, so they will be switched on/off however you want. When you finish, go to Modify>Save as Generic_item, and export as, preferably, .mesh, uncheck other squares.
Also don't rush, there's no other way to save your progress other than exporting model to (preferably) .mesh or .mesh.ascii and loading that later, in case of some critical situation.