When you connect to it with a plain link, you don't have any way of telling the browser that it should download it. It would then depend on how the browser is configured to handle documents with the appropriate MIME type. For XML, I suspect it is universally displayed. Of course, the user could simply save the page. If you want to force it to download rather than display, I suggest a handler that takes the document title as a parameter and returns a response with "content-disposition: attachment; filename=...". Then link to the handler instead of the document. Note that your documents, then, do not need to be in the readable portion of your web site. Moving them would prevent someone from accidentally including a direct link to the document.
<a href='/example.com/downloader.ashx?doc=mydoc.xml'>mydoc.xml</a>