You can use Using an SqlDataAdapter to read the sql data to a DataSet, you can then use DataSet.WriteXml to produce a text file of the data.
Example :
SqlConnection objConnection = new SqlConnection("Connection String");
System.Data.DataSet objDataSet = new System.Data.DataSet();
SqlCommand objCommand = new SqlCommand();
objCommand.Connection = objConnection;
SqlDataAdapter objDataAdapter = new SqlDataAdapter(objCommand);
objDataSet = new System.Data.DataSet();
objDataAdapter.Fill(objDataSet);
objDataSet.WriteXml(@"c:\LOG.TXT");
objCommand.Dispose();
objConnection.Close();