During FreeGuide's "First Time Wizard" you have a chance to choose which channels you want to download. If you want to change your mind later, go to the Tools menu and click Choose Channels for XMLTV. This allows you to tell FreeGuide's listings grabber for your country which channels you want. Follow the instructions and answer the questions, and your configuration will be modified. In order to see any changes you made reflected in the listings you can see, you will need to re-download listings, by clicking the Download Listings button on the main screen.

The difference between doing Choose Channels for XMLTV and making a different channel set is that channel sets only affect what is displayed, not what is downloaded. To change what is downloaded, you need to click Choose Channels for XMLTV.