The following code explains:

         ArrayList al = new ArrayList();
         for(int i=0;i<=10;i++)
         {
            al.Add(i+"");
         }
         DataGrid1.DataSource=al;
         DataGrid1.DataBind();
         Response.Clear();
Response.AddHeader("content-disposition","fileattachment;filename=test.xml");
         Response.ContentType="text/xml";
         
         StringWriter sw = new StringWriter();
         HtmlTextWriter hw = new  HtmlTextWriter(sw);
         DataGrid1.RenderControl(hw);
         Response.Write(sw.ToString());
         Response.End();