Assuming version 0.4.1.
It *should* function with the .xsd files in either the startup directory or the same directory as the XML file being loaded. However, in the latter case you will still get an error logged (once it fails the first time, it will look in the alternate location). Fatality only occurrs when you get the two errors.
For info, in 0.5.0 code DefaultResourceProvider has been improved, and it's possible to have the Xerces XML parser look in an arbitary location for the .xsd files. Having said this, of course you probably want to wait for 0.5.0 stable release before evaluating and deciding whether to upgrade - especially since there are quite some breaking changes in there for existing projects.
If you are already using the 0.5.0 Release Candidates, then please look at the following:
http://www.cegui.org.uk/wiki/index.php/Overview_of_resource_system_enhancements_in_0.5.0
CE.