OpenCV Object Detection Howto:
By Florian Adolf ( robotik [at] inflomatik [dot] de )
How-to build a cascade of boosted classifiers based on Haar-like features
Download the pdf file which explains 'how to' in windows, as well as the tool "objectmarker" mentioned in the tutorial go here.
To convert the directory with subfolders 1..n to a xml file use the haartraining archive provided in the files section of the yahoo group.
Trained classifiers and papers are available from Prof. Lienhart here.