The XML or file is missing or the path to it is incorrect or the create_capture path is incorrect.
The paths in the opencv sample look like this:
cascade_fn = args.get('--cascade', "../../data/haarcascades/haarcascade_frontalface_alt.xml")
nested_fn = args.get('--nested-cascade', "../../data/haarcascades/haarcascade_eye.xml")
cam = create_capture(video_src, fallback='synth:bg=../data/lena.jpg:noise=0.05')