I prefer this free plugin (it has a GPL license)
After installing it, you need to activate it (in the plugin section).
Then, you can configure it (in the Settings -> XML-Sitemap).
"Notify Search Engines about your sitemap or your main sitemap and all sub-sitemaps now." actually means that you need to click on those links to generate for the very first time your sitemap, and to submit it to the search engines mentioned in the settings.
Each time you create a new post, your sitemap is automatically updated and submitted to the search engines mentioned in the settings.