Hi Chris,
Try to show us the code you are using to create the XML file (CURSORTOXML()). Probably you are not sending the output to a file disk. Suppose you have a cursor named "MyCursor" and you want to create an XML document from it. You could use the following code:
CURSORTOXML("MyCursor", "xmltest.xml", 1, 512)
The last parameter passed in is the nFlag parameter. The value 512 specifies that a file disk will be generated and the name of the file is that passed in the second parameter.
Hope this helps.