The API only returns data in JSON format - you must perform any conversion yourself.
Here is the source code for a PHP app I wrote a while back that converts the JSON returned by the API to XML:
http://quickmediasolutions.com/pastebin/1/stack2xml-source-code
It expects two GET variables to be set:
method- the API route to use (for example,questions)version- the API version to use (for example,2.0)
These are in addition to any regular query string parameters expected by the API.