string connectionString = "server=.;uid=test;pwd=test;database=test";//Your database connection string
 SqlConnection con = new SqlConnection(connectionString);
 SqlCommand cmd = new SqlCommand("select * from tablename for xml auto, elements", con);

        con.Open();

        XmlReader reader = cmd.ExecuteXmlReader();

        con.Close();

        XmlDocument doc = new XmlDocument();

        doc.LoadXml("");

        XmlNode node = doc.ReadNode(reader);

        while (node != null)
        {

            Console.WriteLine(node.InnerXml);

            node = doc.ReadNode(reader);

        }
        reader.Close();

        reader = null;

        doc = null;
        doc.Save(Server.MapPath("test.xml"));