When you purchase and download a license, Aspose website names the license file 'Aspose.Words.LIC'. You download the license file using your browser. Some browsers recognize the license file as XML and append an .xml extension to it so the full name of the file on your computer becomes 'Aspose.Words.lic.XML'.
When Microsoft Windows is configured to hide extensions of known file types (unfortunately this is default in most Windows installations), the license file will appear to you as 'Aspose.Words.LIC' in Windows Explorer. You are likely to think this is the real file name and call License.SetLicense passing it 'Aspose.Words.LIC', but there is no such file, hence the exception.
To solve the problem, rename the file to remove the invisible .xml extension. We also recommend you disable the "hide extensions" option in Microsoft Windows.