perhaps a more complete example:
where you have this line: xml = xml & "<FileName>" & filename & "</FileName>"
you can put:
Dim xnode as xmlnode = xmldoc.selectsinglenode("rootnode/subnodes")
For Each filename In _lstFileNamesToDelete
Dim x As System.Xml.XmlNode = xmlDoc.CreateNode(System.Xml.XmlNodeType.Element, "FileName", "")
x.InnerText = filename
xnode.AppendChild(x)
Next