At least two files are necessary for use with XSPEC: a data file and a response file. In some cases, a file containing background may also be used, and, in rare cases, a correction file is needed to adjust the background during fitting. If the response is split between an rmf and an arf then an ancillary response file is also required. However, most of the time the user need only specify the data file, as the names and locations of the correct response and background files should be written in the header of the data file by whatever program created the files.
All the files used in the following walkthroughs are available from https://heasarc.gsfc.nasa.gov/docs/xanadu/xspec/walkthrough.tar.gz.