Files with CMX extension are Corel Exchange image file format (also known as Corel Metafile Exchange) that is used as presentation by CorelSuite applications. It contains image data as vector graphics as well as metadata that describes the image. CMX files can be opened by CorelDraw, Corel Presentations, Paint Shop Pro and some versions of Adobe Illustrator. CMX files can be converted to other formats such as JPG and EPS.
An XPS file represents page layout files that are based on XML Paper Specifications created by Microsoft. This format was developed by Microsoft as replacement of EMF file format and is similar to PDF file format, but uses XML in layout, appearance, and printing information of a document. It is, in fact, more justified to say that XPS is an attempt on PDF, but couldn't get enough popularity as owned by PDF for a number of reasons.
You can also convert CMX into many other file formats. Please see the complete list below.