Pongmei Valley, in a dilapidated building on the north side of the valley, halfway between Maatu Keep and the entrance to the Sunjiang District (Explorable).
This boss used to have Way of the Empty Palm, he no longer has it as of the Game update on 5/19/2006.
When approaching him, a lot of Jade Brotherhood and Am Fah will appear and start to fight. They're not hard to defeat, but make sure not to get ganged up. You can also let the Jade Brotherhood charge Xuekao's position and let them take care of the Am Fah guarding him. Make sure that you kill the first group of archers, though, or they won't be able to take down all of Xuekao's Am Fah guards. Xuekao will be able to kill any surviving Jade Brotherhood, thus leaving himself alone and somewhat easier to kill.