There may be a path problem.
OR
Add an XmlDataSource and then, set DataSourceID of AdRotator to that XmlDataSource.
eg:
<asp:xmldatasource id="XmlDataSource1" runat="server" datafile="~/xml/XMLAdRotator.xml" />
<asp:adrotator id="AdRotator1" runat="server" DataSourceID="XmlDataSource1" Style="position: static" Width="170px" Height="106px" />
In this way, you can set the XmlDataSource as dataSource for as many AdRotators as you want.