Use save() to store them in a proprietary MATLAB format file. Then use load() to retrieve them. That's what I do.
Is there any particular reason why you wanted or needed it in an XML file? Sure it's a text file, but it's not particularly easy to read or edit. I wouldn't use XML unless you needed to communicate with some other program for some reason (one that doesn't understand MATLAB's mat file format).
Also, you have to be careful where you store it. If you're trying to store it somewhere under the Program Files folder, Windows 7 won't let you. You can store files in certain places in the c:\User folder and anywhere under the c:\ProgramData folder. The ProgramData folder is a common place that Win7 apps store their initialization settings. Take a look inside yours.