Its a configuration fuse, not a file register. You have to set it at the programming stage, it can't be changed under program control, if you did it would crash the processor!
You can either set it manually or embed the configuration in the HEX file if your assembler lets you do that. Most programming hardware will check to see if the configuration is stored in the HEX file and if it finds it will set the configuration for you.
For 4MHz you can use either XT or HS mode, for 10MHZ only use HS mode. The only difference between XT and HS modes is the gain of the internal oscillator, there is a wide overlap area around 4MHz where both will work equally well.
Brian.