If you do not care about saving any information from the Windows system, then just copying the video files is the easy way to go.
Move your media to the desired location, install Plex on the Synology, and have at it.
Note: Do not put your media in /Plex (DSM 6) or /PlexMediaServer (DSM 7). Those folders are reserved for use by the Plex software.
If you do want to save info from the Windows system, see FAQ 18: Moving PMS from Mac/Windows to Synology
Either way, read Installation & Setup of Plex Media Server on Synology
Do not install the version of Plex Media Server in the Synology Package Center. It is woefully out of date.
Download and install the current version from https://www.plex.tv/media-server-downloads/#plex-media-server and perform a manual installation. Note that there are separate downloads for DSM 6 and DSM 7.
If you have already installed the version from Synology Package Center, download the current version from plex.tv and manually install it. The installation might take awhile as Plex updates the database and, in the case of DSM 7, moves the Plex data folder to a user accessible location.
Plex will not read from the XML files. It will read the IMDB ID from NFO files.
Plex will use posters/artwork if present, named correctly, and the library is configured to look for them.
See Plex Documentation → Your Media. Read the “Local Media Assets” documents in the sections on naming movies and TV shows. It shows how posters, artwork, etc. should be named.
