I wanted to generate some classes from two related schemas tonight, and unfortunately xsd.exe failed.  It didn’t seem to recognize the <xsd:import> statement in the main xsd file.  Apparently the schemaLocation attribute is considered a hint and is not in the spec.  so… MS doesn’t recognize it.  Anyway, in order to get xsd.exe to work properly, you just have to specify all of the files as parameters. 

So instead of something like

xsd.exe MyParent.xsd /c

I had to use

xsd.exe MyChild.xsd MyParent.xsd /c