Sub getData()
      
    Dim con As ADODB.Connection
    Dim rs As ADODB.Recordset
    Dim query As String, strCon As String
    Set con = New ADODB.Connection
    Set rs = New ADODB.Recordset
      
      
    strCon = "Provider=SQLOLEDB; " & _
            "Data Source=localhost; " & _
            "Initial Catalog=mdbase;" & _
            "User ID=test; Password=test; Trusted_Connection=yes"
    con.Open (strCon)
    With rs
        .ActiveConnection = con
        .Open "select top 3 name_ru from country; select top 3 name from city"
        Sheets("data").Range("A1").CopyFromRecordset rs
        Kill ActiveWorkbook.Path & "\\" & "test.xml"
        rs.Save ActiveWorkbook.Path & "\\" & "test.xml", adPersistXML 
    End With
    
    rs.Close
    Set rs = Nothing
    Set con = Nothing

End Sub

<xml xmlns:s='uuid:BDC6E3F0-6DA3-11d1-A2A3-00AA00C14882'
	xmlns:dt='uuid:C2F41010-65B3-11d1-A29F-00AA00C14882'
	xmlns:rs='urn:schemas-microsoft-com:rowset'
	xmlns:z='#RowsetSchema'>
<s:Schema id='RowsetSchema'>
	<s:ElementType name='row' content='eltOnly' rs:CommandTimeout='30'>
		<s:AttributeType name='name_ru' rs:number='1' rs:writeunknown='true'>
			<s:datatype dt:type='string' dt:maxLength='128' rs:maybenull='false'/>
		</s:AttributeType>
		<s:extends type='rs:rowbase'/>
	</s:ElementType>
</s:Schema>
<rs:data>
	<z:row name_ru='Австрия'/>
	<z:row name_ru='Азербайджан'/>
	<z:row name_ru='Армения'/>
</rs:data>
</xml>