To get all the changes made in the database into a file you need to follow two steps(Although i am not recommend it.)
First of all you need to create a trigger to write log in separate Table(LogTable). and then using BCP
] command you can extract your Table log into CSV data file in specified folder. You can create an XML/TXT/CSV
file from your Log data.
My suggestion is you can keep your database log in database itself. why you want it in separate file? Even if you can read from database.
Hope i answered your query