Assume that your Data Grid is not associated with any dataset. In the absence of any XML support functions, you can use the RenderControl method to extract the content into an .xml file.

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();