I just figured this out. If you want to save the file as XML, make sure you are looking at the page source (Tools->View source or Control+U).

There's an HTTP header called Content-Disposition, which is defined in RFC1806 as follows:

2.1 The Inline Disposition Type

A bodypart should be marked inline if it is intended to be displayed automatically upon display of the message. Inline bodyparts should be presented in the order in which they occur, subject to the normal semantics of multipart messages.

2.2 The Attachment Disposition Type

Bodyparts can be designated attachment to indicate that they are separate from the main body of the mail message, and that their display should not be automatic, but contingent upon some further action of the user. The MUA might instead present the user of a bitmap terminal with an iconic representation of the attachments, or, on character terminals, with a list of attachments from which the user could select for viewing or storage.

In order to put the header message on the xml file, you'd need the access to the server-side. For example using php's header function you could write something like:

header('Content-Disposition: attachment; filename="some.xml"');

If you don't have access to the server-side, you could try the following JavaScript trick that I found Googling (not sure if it would work):

<a href="javascript:void(0);" onclick="document.execCommand('SaveAs',true,'some.xml');">Save this page</a>