SQL 2005 XML

but when I try to change file XML file path and name to a variable, it does not work.
To quote from SQL Server's BOL:

OPENROWSET does not accept variables for its arguments.

.  So you will have to build the entire string and then execute it as dynamic SQL

the below builds the entire string and executes it as a dynamic SQL, but does not work and gives the above described error message

DECLARE @CMD varchar(max)

SET @cmd = 'SELECT @x = SQLs FROM OPENROWSET (BULK ''' + @FileName + ''', SINGLE_BLOB) AS Solution(SQLs)'
EXEC (@cmd)

Please post the value for @cmd.

the value of @cmd is after the equals sign.

SET @cmd = 'SELECT @x = SQLs FROM OPENROWSET (BULK ''' + @FileName + ''', SINGLE_BLOB) AS Solution(SQLs)'

Can you post the result please, as in:
SET @cmd = 'SELECT @x = SQLs FROM OPENROWSET (BULK ''' + @FileName + ''', SINGLE_BLOB) AS Solution(SQLs)'
Print @cmd

Print @cmd  would result in:

SELECT @x = SQLs FROM OPENROWSET (BULK 'C:\Temp\ForTables.xml', SINGLE_BLOB) AS Solution(SQLs)

I'm glad you hung in there with me.

A minor change had to occur.  the DECLARE and the SET had to be in two lines.
EXAMPLE:
DECLARE @FileName nvarchar(1000) = 'C:\Temp\ForTables.xml'
had to be changed to:
DECLARE @FileName nvarchar(1000)
SET @FileName = 'C:\Temp\ForTables.xml'
The below T-SQL works.  
------------------------------------------------------------------------------------------------------

Declare @FileName nvarchar(1000)

SET @FileName = 'C:\Temp\ForTables.xml'

DECLARE @CMD nvarchar(max),
            @x xml,
        @Parms nvarchar(100)

SET @Parms = '@FileName nvarchar(1000), @X xml OUTPUT'

SET @cmd = 'SELECT @x = SQLs FROM OPENROWSET (BULK ''' + @FileName + ''', SINGLE_BLOB) AS Solution(SQLs)'
EXECUTE sp_executesql @CMD, @Parms, @FileName = @FileName, @x = @x OUTPUT

DECLARE @hdoc int

EXEC sp_xml_preparedocument @hdoc OUTPUT, @x

SELECT * FROM OPENXML (@hdoc, '/CMPDocument/CMPData/EventLog/SystemLog/SYSs', 2)
WITH (
      [InstanceID] varchar(500)
      ,ErrorTime varchar(500)
      ,ErrorSource varchar(500)
      ,ErrorMessage varchar(max)
      )

SELECT * FROM OPENXML (@hdoc, '/CMPDocument/CMPData/EventLog/ApplicationLog/LOGs', 2)
WITH (
      [InstanceID] varchar(500)
      ,ErrorTime varchar(500)
      ,ErrorSource varchar(500)
      ,ErrorMessage varchar(max)
      )

EXEC sp_xml_removedocument  @hdoc

A minor change had to occur.  the DECLARE and the SET had to be in two lines.
You are right.  My code is not supported in SQL Server 2005.

Yes, I assumed it was an SQL version issue.