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 表", 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();
}