When I click download, I get <?xml version=1.0 encoding="utf-8"?> ...

When I click download, my browser asks me what to do with the file.

Make sure you have Java Web Start installed. For Windows or Linux, Java Web Start is included with Java 1.4.1 and above. Get the latest Java here.  For Macs, Java Web Start is built into Mac OS 10.1 and above. Get the latest Mac OS here.

I have Java 1.4.1+, but clicking the download button still doesn't work.

Maybe your browser is confused. Somewhere in your browser preferences, look for "applications" or "helper applications". You'll need to tell your browser that the extension "jnlp" and the mime type "application/x-java-jnlp-file" are associated with Java Web Start--something like "C:\Program Files\Java Web Start\javaws.exe".