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Код

    public static void test() throws Exception{
        URL url = new URL("http://vesna.yandex.ru/mathematics.xml");
        URLConnection con = url.openConnection();
        
        con.setDoOutput(false);
        con.setDoInput(true);
        con.connect();
        
        PrintWriter pw = new PrintWriter("C:\\Documents and Settings\\Kolobok\\Desktop\\test.txt","ХХХ"); // нужно здесь указывать?
        InputStreamReader in = new InputStreamReader(con.getInputStream(), "ууу");
        BufferedReader br = new BufferedReader(in);

        String line = "";
        while((line = br.readLine()) != null){
            System.out.println(line);
            pw.println(line);
        }
        pw.flush();
        pw.close();        
        br.close();
    }