I’ll say what anybody reading this would say: what?!
I mean, short answer: don’t open the .xml file but just save it.
Your OS seems to be configured to open .xml with IE.
Create a random .xml file on your desktop, right click, define the “open by default with…” don’t select IE but notepad.exe or any text editor you have at home. Then download you file, SAVE IT (and don’t open it).
I mean that’s not really a WordPress related question and more a basic Windows OS related question.
Tell me if i understood your problem well (which i’m note sure i did)