Why don’t you tell us exactly what you are doing, then maybe someone will see something in that which will aid in solving your problem?
SCENARIO:
If I create a new file (File -> New), then I make some changes to the document tab that gets created from that, then I do File -> Save and Notepad++ prompts me with a “Save As” dialog box, I type “test.xml” for the File name box, click OK and Notepad++ saves my XML as I specified. When I go look at where I saved it with Explorer, it is there. If I then open the test.xml file in standard Windows notepad.exe, the data that I put in the file with Notepad++ was there.
So not only have I showed that the problem you seem to be experiencing isn’t a problem for me, I’ve also educated you about how to describe what you are doing, how to explain what you expect, and then how to verify (with an independent tool) that you got (or in some cases, didn’t get) what was desired.