There will be a 'Download XML' link on the screen that downloads everything from the current record downwards to an XML file. You should right click on this link and select 'Save As...' to save the XML to a file.

Note: This feature will not work if the data exceeds approximately 120Mb, or less depending on the amount of contiguous (un-fragmented) memory available on the system at the time.

Alternatively, you can use the Backup Database option which will generate an XML file of ALL the data in the application. However you should use this with caution as it can temporarily lock the database during the backup, which could cause an interruption in service. Once the database is downloaded, you can re-import it into a blank database by using the What's Next / Import XML action.