解决了:
HRESULT hr;
CComPtr<IXMLDOMProcessingInstruction> proc_instr;
hr = xml_out->createProcessingInstruction(L"xml", L"version=\"1.0\" encoding=\"UTF-8\"", &proc_instr);
if (FAILED(hr))
throw std::exception("Failed to create IXMLDOMDocument processing instruction");
CComPtr<IXMLDOMNode> first_child;
hr = xml_out->get_firstChild(&first_child);
if (FAILED(hr))
throw std::exception("Failed to get first child of IXMLDOMDocument");
hr = xml_out->insertBefore(proc_instr, CComVariant(first_child), NULL);
if (FAILED(hr))
throw std::exception("Failed to insert IXMLDOMDocument processing instruction");
hr = xml_out->save(CComVariant(header->output_file.c_str()));
if (FAILED(hr))
throw std::exception("Failed to save response XML to '" + header->output_file + "'");
http://msdn.microsoft.com/en-us/library/windows/desktop/ms755439(v=vs.85).aspx