Private Sub Page_Load(ByVal sender As System.Object, ByVal e As System.EventArgs) Handles MyBase.Load
    Dim objConn As SqlConnection
    Dim strSql As String

    strSql = "SELECT TOP 10 * FROM Customers"
    objConn = New SqlConnection(ConfigurationSettings.AppSettings("ConnectionString"))

    Dim sdaCust As New SqlDataAdapter(strSql, objConn)
    Dim dstCust As New DataSet()

    sdaCust.Fill(dstCust, "Customers")
    'Save data to xml file and schema file
    dstCust.WriteXML(Server.MapPath("Customers.xml"),XmlWriteMode.IgnoreSchema)
    dstCust.WriteXMLSchema(Server.MapPath("Customers.xsd"))
  End Sub

        Try
            m_CpCourseArrange.FillRoomId(m_DsCourseArrange)
            'Dim reader As New MemoryStream

            Dim doc As New XmlDocument
            doc.LoadXml(m_DsCourseArrange.GetXml.ToString) 
            Return doc

        Catch ex As Protocols.SoapException
            Throw SoapExceptionE.RaiseException("ListAllRooms", "http://tempuri.org/CourseArrange", ex.Message, "4000", ex.Source, SoapExceptionE.FaultCode.Server)
        End Try
    End Function

GetXML--Returns the XML representation of the data stored in the DataSet.   (MSDN)

Private Shared Sub DemonstrateGetXml()
    ' Create a DataSet with one table containing two columns and 10 rows.
    Dim ds As DataSet = New DataSet("myDataSet")
    Dim t As DataTable = ds.Tables.Add("Items")
    t.Columns.Add("id", Type.GetType("System.Int32"))
    t.Columns.Add("Item", Type.GetType("System.String"))

    ' Add ten rows.
    Dim r As DataRow
    Dim i As Integer
    For i = 0 To 9
        r = t.NewRow()
        r("id") = i
        r("Item")= "Item" & i
        t.Rows.Add(r)
    Next

    ' Display the DataSet contents as XML.
    Console.WriteLine( ds.GetXml() )
End Sub