Dim f As New FileInfo( "D:\xml\test1.xml")
Dim ds As New DataSet()
Dim oda As New OleDbDataAdapter()
Dim conn As New OleDbConnection()
Dim doc As New XmlDataDocument(ds)
conn.ConnectionString = "Provider=SQLOLEDB.1;..."
oda.SelectCommand = New OleDbCommand("SELECT CustomerID, ContactName, ContactTitle FROM Customers", conn)
oda.Fill(ds)
doc.Save(f.FullName)

oda.Fill(ds)

Dim doc As New XmlDataDocument(DataSet1) 'DataSet1 - созданный визардом

        Dim f As New FileInfo(Application.StartupPath & "\test2.xml")
        OleDbDataAdapter1.Fill(DataSet11)
        Dim doc As New XmlDataDocument(DataSet11)
        doc.Save(f.FullName)