[alber]

The small black connector should be connected to 12v battery.
The OE Microcheck and Testbook connectors have to be connected to 12V.

Maybe your XW has the IR Fob?

This is the OE connector:

Yeah, of course my XW (R8) has the Infra Red fob. Are there XW rovers with Radio frequency fob? I didnt know it.

The question would be, do u think it will work if I connect it to my laptop? Of course using a rover software... that obviously I still dont have

[Tritium]

Yes, from mid 1994 on the XW had the Lucas 3TXA fob which are RF, the IR ones were Valeo.
No, you need a Rover Testbook or Microcheck.

[E_T_V]

As said above. There is no cheap easy way to read the ECU diagnostics on the older K series as it isn't OBDII compliant. It uses bespoke diagnostics and so a generic code reader won't work on it.