I agree with what has been said in the other answer. But you have to be a bit careful when you ask about what people believe. If the question in whether of not the story of Lord Xenu is part of what is taught in the Church of Scientology, then answer is yes. But if the question is whether or not all Scientologists believe in the story the answer in no. Of course this can turn into a discussion about what defines Scientology. And when you put a label on any system of belief you will have people putting the label on themselves but disagreeing with parts of what the label covers. The other answer given here seems to ignore this.
There are many anti-Scientology websites out there and one good one is the one pointed out in the other answer: xenu.net.
But as Xenu.net points out one might want to make a distinction between Scientology and the Church of Scientology (CoS) (Some might argue that the C in CoS means Cult). That is, it is actually possible to be "a Scientologist" and not a member of CoS.
It is commonly known that in CoS the whole Lord Xenu thing is something you learn when you reach Operating Thetan level III (OT III). You start the levels after you have gone "Clear". And first one notes that the average Scientologist you meet on the street has not reached this level, so while Lord Xenu is part of the belief system, it is unknown to even many Scientologists. One key thing that sets Scientology apart from, for example, Christinity and the other major world religions, is that the church has secret texts.
Besides Xenu.net and Wikipedia, many high level ex-members of CoS have stated that indeed they came across Lord Xenu when they reached OT 3.
There are other ex-members out there who have made similar statements. It would be hard to argue that all these former high level members would lie about this.
Besides the testamonies from former members, in The Oxford Handbook of New Religious Movements on page 427 the Lord Xenu story is also attributed to "secret Scientology mythology".
Again, be careful with attributing beliefs to Scientology. Take, for example, Mark Rathbun who was the Inspector General for CoS. Rathbun still believes in Scientology, but said in 2012 that he does not believe in the story about Lord Xenu.
(A lot more can be said about this, but I will leave you with this. Also, I will only post this one answer and I hope that (if it is possible) the moderators will delete whatever account I might accidentally have created, but please feel free to keep this answer.)