I found the solution, it's on the bottom of this page: http://www.cocos2d-iphone.org/forum/topic/6136
In order to get your project to compile you’ll need to first include the libxml2 Framework (right click on your project and choose Add Exisiting Frameworks).
Now right click on your project and choose ‘Get Info’. In the build tab, scroll down till you see the ‘Search Paths’ section. In the ‘Header Search Paths’ field, add ‘$(SDKROOT)/usr/include/libxml2′
Finally, expand the Twitter+OAuth group in your project and then expand theMGTwitterEngine group. Open MGTwitterEngine.m and alter #define USE_LBXML 0 to #define USE_LIBXML 1.