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SqlConnection conn = new SqlConnection();
      conn.ConnectionString = "Server=127.0.0.1;User ID=sa;Password=fdahgdrethj31313210212121;Database=northwind;Persist Security Info=True";
      conn.Open();
      SqlDataAdapter da = new SqlDataAdapter("select * from ±í", conn);
      SqlCommandBuilder thisBulder = new SqlCommandBuilder(da);
      DataSet ds = new DataSet();
      da.Fill(ds);
      ds.WriteXml(@"C:\temp.xml");
============================================================================== 
private void WriteXmlToFile(DataSet thisDataSet) {
    if (thisDataSet == null) { return; }
    // Create a file name to write to.
    string filename = "myXmlDoc.xml";
    // Create the FileStream to write with.
    System.IO.FileStream myFileStream = new System.IO.FileStream
       (filename, System.IO.FileMode.Create);
    // Create an XmlTextWriter with the fileStream.
    System.Xml.XmlTextWriter myXmlWriter = 
       new System.Xml.XmlTextWriter(myFileStream, System.Text.Encoding.Unicode);
    // Write to the file with the WriteXml method.
    thisDataSet.WriteXml(myXmlWriter);   
    myXmlWriter.Close();
 }

author: http://blog.csdn.net/southidc/