I use VS2010. In my test project I have a folder named \"MessageInstances\" and in that folder there is a subfolder \"GET_ACTIVITY\", inside that folder there are xml files.
The DeploymentItem attribute will only work if Build Action on the item is set to Content and the Copy to Output Directory is set to Copy if Newer or Copy always. Additionally, if your tests are running with a testsettings file you need to enable Deployment in the settings. Make sure you are editing the active test run config in case you have mutiple.
Your DeploymentItem should be defined as follows:
[DeploymentItem("MessageInstances\\GET_ACTIVITY\\", "MessageInstances\\GET_ACTIVITY")]
Or using '@' instead of '\\'
[DeploymentItem(@"MessageInstances\GET_ACTIVITY\", @"MessageInstances\GET_ACTIVITY")]
i.e. you need to specify the output directory, otherwise the files will be copied to the Out directory of your test run.