SqlConnection con = new SqlConnection("Data Source=your-pc;Initial catalog=YourDatabase;uid=sa;pwd=*******");
SqlDataAdapter da = new SqlDataAdapter("SELECT * FROM YourTable",con);
DataSet ds = new DataSet();
da.Fill(ds);
XmlDocument xml = new XmlDocument();
xml.LoadXml(ds.GetXml());
xml.Save("c:\\test.xml");
Thanks,
Mamun