BV will save it as sitemap.xml for to manually upload the file to your server: you may not see it unless you check the box in the BV "OPEN" dialog box "All Files" (since when using the BV OPEN FILE dialog box, it defaults to .bvp files).
Once you have loacted the file, use Blue FTP to upload it straight from within BV.
Your text links are intended for the bots to follow, not people, right? (That's why I usually put a transparent gif over the XML link, so it is there, but not accesible to people).

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