A sitemap is basically an XML file with a few pieces of data in it.  It used to be that when you heard the word sitemap, you thought of something like this.  This is a sitemap that is easy to read by us humans.  But the other sitemap is a file that can easily be read by a computer. Sitemaps.org has more documentation as well.

Programs

There are a few different programs to help you create a sitemap.  Some will even upload the sitemap to your website for you.  There are standalone programs (which you download and install to your computer) or online websites to help you create a sitemap.  Usually, some of the online websites will limit you to 500 URLs, but most of the standalone programs have no URL limits.

Google Sitemap

Google created a protocol to help the search engine spider your website. They call this a sitemap. You can submit your site to Google through their webmaster tools. You will need a Google account to submit your sitemap.

Yahoo Sitemap

You can submit your sitemap to Yahoo as well through your Yahoo account. They will rely on the same protocol as Google.  Currently, as of 1 March 2006, Yahoo is still supporting the urllist.txt file.  This is just a simple TXT file with a list of your URLs in it.

MSN Sitemap

You can add your link to the robots.txt file and MSN will be able to locate it:
Sitemap: http://www.loudsitemaps.com/sitemap.xml

Or you can sign up at Live Search Webmaster Center to have the ability to check the status of your XML sitemap.

Ask.com Sitemap

You can add your link to the robots.txt file and ask.com will be able to locate it:
Sitemap: http://www.loudsitemaps.com/sitemap.xml

Apparently, this will be the new way for some of the search engines to locate your sitemap.