This is your project file that contains all yours images, pages, text and other content. From this file you can export to various other formats or publish your website.
If you are transferring your document from from Xara Cloud to Designer Pro+, this is the file you need to upload. Please see more information about sharing between Cloud and desktop here.
You can retrieve this file by going to File > Save as within Designer Pro+, or File > Save within Cloud. All templates are saved as .XAR files.
There is no difference between a .XAR and .WEB file other than Web Designer saves .WEB and Designer Pro saves a .XAR, but both can be used interchangeably.