I think they provided schema definition about their side message structures and WSDL (web service definition language). Please contact the client and check whether they support Webservice. If so, get the WSDL and import it in PI as external defintion. You don't need to create data types for this. You simple use their message definition as message types. In this case you can use SOAP receiver adapter to integrate with the client. Please search SCN for the soap receiver adapter scenarios.
If they don't support web service then you use their XSDs as message types. You don't need to create data types and ask for the communication standards(like protocols such as SOAP, FILE etc) they support.