CheckedListbox in C#

Ok, Writing the Xml file from your code..

try
                  {
                      //pick whatever filename with .xml extension
                      string filename = @"C:\Users\shashik\Desktop\"+"XML" + DateTime.Now.Day + ".xml";

                      XmlDocument xmlDoc = new XmlDocument();

                      try
                      {
                          xmlDoc.Load(filename);
                      }
                      catch (System.IO.FileNotFoundException)
                      {
                          //if file is not found, create a new xml file
                          XmlTextWriter xmlWriter = new XmlTextWriter(filename, System.Text.Encoding.UTF8);
                          xmlWriter.Formatting = Formatting.Indented;
                          xmlWriter.WriteProcessingInstruction("xml", "version='1.0' encoding='UTF-8'");
                          xmlWriter.WriteStartElement("CheckBox");
                          //If WriteProcessingInstruction is used as above,
                          //Do not use WriteEndElement() here
                          //xmlWriter.WriteEndElement();
                          //it will cause the <root> to be <Root />
                          xmlWriter.Close();
                          xmlDoc.Load(filename);
                      }

                      foreach (ListItem item in cbl1.Items)
                      {

                          if (item.Selected)
                          {
                              XmlNode root = xmlDoc.DocumentElement;
                              XmlElement childNode = xmlDoc.CreateElement("CheckedItem");
                              XmlText textNode = xmlDoc.CreateTextNode("hello");
                              textNode.Value = "It is Checked Item";

                              root.AppendChild(childNode);
                              childNode.SetAttribute(item.Text, item.Value);
                              childNode.AppendChild(textNode);
                              xmlDoc.Save(filename);
                          }
                      }

                  }
                  catch (Exception ex)
                  {

                  }
              }</root>

You cant get all selected items directly,
As cbl1.SelectedItem will return only one selected item (which has the lowest index value..),
if you want all selected items then you have to check each and every item, whether it was selected or not..

foreach (ListItem item in cbl1.Items)
            {
                if (item.Selected)
                {
                    // you can use item.Value; and your logic
                }
            }

That what i have written in the code,
the If condition filters the Selected items from the item list,
so you can write the code within the If condition..

foreach (ListItem item in cbl1.Items)
            {
                if (item.Selected)
                {

                //Properties.Settings.Default.CheckedItems = check;
                //Properties.Settings.Default.Save();

                }
            }

What you want to do actually..?
What i sthis property(checkedListBox1.CheckedItems) that you have written in your code..?
their is no CheckedItems property in CheckBoxList.