The Xway User Guide is included within Xway's application package, so it won't show up separately (e.g. in the Finder).
You could open the application package, but it's better if you fix your permission problem. It's possible that this is caused by Apple's quarantine technology. This can create problems if you run an application from the directory where you downloaded it.
Is Xway within your Applications folder? If not, try dragging it there. If it is, try dragging it out and then put it back in there.