To use sitemaps, you'll need a Bing Webmaster Tools account.
Sitemaps are essentially a way to tell search engines exactly how to navigate your site — hence the term "map". Sitemaps also alert search engines to new or changed content on your site, so your recent content gets indexed that much quicker for potential visitors.
Bing's online interface and exact instructions change often. Click here to read Bing's current instructions for creating and submitting a sitemap.