OK, if no devices.xml file is available under ?:\Users\<user_name>\AppData\Local\VirtualStore\Program Files\Common Files\Symbian\ then ... well, forget about it and create an entry in the file you already have ?:\Program Files\Common Files\Symbian\devices.xml.
Alternatively you can use Carbide.c++ through its SDK Preferences dialog to add a new entry. Make sure to run it as administrator for it to be able to write to ?:\Program Files\Common Files\Symbian\devices.xml
<device id="S60_5th_Edition_SDK_v0.9" name="com.nokia.s60" default="no" userdeletable="yes">