Vlad Drumea extracts some data:
SSMS doesn’t really have a way to output XML data into files directly, and doing it manually starts to become a pain after the 3rd or 4th file.
You can do it via SSIS, but not everyone has SSIS installed or the time to figure it out.
Admittedly, I’d start with SSIS myself, but it’s good to have multiple ways of solving a problem.