I'm trying to use XAudio2

The idea I got is that I should have the following in XAudio2:

- Listener

- SourceVoice

In FPS game, "Listener" should be the player, while "SourceVoice" can be any other model making sound.

Am I right?

How do I setup multiple SourceVoice and play them all during the game? If a helicopter is getting close, the player should hear it, at the same time if the player is taking fire, the player should hear the sound of the bullet hitting the wall for example at the same time.

The player should hear EVERYTHING around at the same time.

The idea I got is that I should have the following in XAudio2:
- Listener
- SourceVoice
In FPS game, "Listener" should be the player, while "SourceVoice" can be any other model making sound.
Am I right?

Sort of, but not really. As much as we might want XAudio2 to be a nice object oriented library it is simply not the case. You can set up multiple source voices to play multiple sounds simultaneously, but there is no intrinsic relationship between source voices and 3D positioning. It is probably better to think of SourceVoices as very basic PCM streams. The Listener and the Emitter are not really objects in a modern stateful sense, but collections of parameters that are passed to X3DAudio's X3DAudioCalculate method.

How do I setup multiple SourceVoice and play them all during the game? If a helicopter is getting close, the player should hear it, at the same time if the player is taking fire, the player should hear the sound of the bullet hitting the wall for example at the same time.

The player should hear EVERYTHING around at the same time.

This example shows how to setup simple 3D audio in XAudio2: http://msdn.microsoft.com/en-us/library/windows/desktop/ee415798%28v=vs.85%29.aspx
It is a serious PITA to get right. XAudio2 is quirky and in a lot of ways half-baked. If this is your first time working with 3d audio you might want to start with a higher-level library (I have heard FMOD is solid though not free, BASS is fine, but is just wrapping the older DirectSound apis).
Hope this helps.