SaveFileDialog fileDialog = new SaveFileDialog();
fileDialog.Filter = "Excel files (\*.xls)|\*.xls";
fileDialog.FileName = "My\_File\_Name.xls";
fileDialog.ShowDialog();

DataTable dt = GetFilteredDataTable();

using (FileStream fs = (FileStream)fileDialog.OpenFile())
using (StreamWriter sw = new StreamWriter(fs))
{
  sw.Write("<?xml version=\\"1.0\\" standalone=\\"yes\\"?>");
  dt.WriteXml(sw, XmlWriteMode.IgnoreSchema);
  sw.Close();
  fs.Close();
}