Is your sitemap.xml looking like this?

PHP Code: 
<?xml version="1.0" encoding="UTF-8"?>
<sitemapindex xmlns="http://www.sitemaps.org/schemas/sitemap/0.9">
<sitemap>
<loc>http://www.YourSite/index.php?app=ipseo&amp;module=sitemap&amp;sitemap=sitemap_forums.xml.gz</loc>
<lastmod>2011-04-07T05:40:57+00:00</lastmod>
</sitemap>
<sitemap>
<loc>http://www.YourSite/index.php?app=ipseo&amp;module=sitemap&amp;sitemap=sitemap_topics.xml.gz</loc>
<lastmod>2011-04-07T05:40:57+00:00</lastmod>
</sitemap>
<sitemap>
<loc>http://www.YourSite/index.php?app=ipseo&amp;module=sitemap&amp;sitemap=sitemap_core.xml.gz</loc>
<lastmod>2011-04-07T05:40:57+00:00</lastmod>
</sitemap>
</sitemapindex>
If it does, you do not have to worry. If you will look closely in your cache folder you will see that contains the xml files that your sitemap is referring to.

sitemap_forums.xml.gz
sitemap_topics.xml.gz
sitemap_core.xml.gz