Hi,
its an XML only. so you need to parse that xml file and then you can save it with the format that you want. if you need to save it as it is then you can use below code,
string rssUri = "http://yourxmlfeeduri.xml";
var doc = System.Xml.Linq.XDocument.Load(rssUri);
doc.Save("filename.xml");
hope this will help you,
thanks
-amit