If you don't have curl installed (e.g. Windows machine), simply type the link: https://{your username}:{your password}@api.del.icio.us/v1/posts/all on your address bar, and use "Save As" to store the resulting XML file. If you see just a blank page (e.g. in Chrome), select "View Source" first, then save the text.

If your security setting blocks using the http://login:pwd@... format, just login to the site and use the link without the login info.

(You can also use wget instead of curl as an alternative.)