Here are the settings I am using for my project: Execute Windows batch command build step with the following:
fxcopcmd /file:"<files>" /out:"%WORKSPACE%\fxcop-report.xml" /rs:="C:\Program Files (x86)\Microsoft Visual Studio 11.0\Team Tools\Static Analysis Tools\Rule Sets\MinimumRecommendedRules.ruleset" /s /searchgac
I then have the XML filename pattern as
fxcop-report.xml
Hope this is of some use to you