Something like this:

create table #continents (
    continentid int, [continent name] nvarchar(100))
insert into #continents
SELECT  1, 'Asia'
UNION ALl
SELECT  2, 'Europe'
UNION ALL
SELECT  3, 'Africa'

CREATE TABLE #countries (countryid int, [country name] nvarchar(100), continentid INT)

insert into #countries
SELECT  1,'China', 1
UNION ALL
SELECT  2, 'Japan', 1
UNION ALL
SELECT  3, 'Germany', 2
UNION ALL
SELECT  4, 'France', 2

CREATE TABLE #states (stateId INT, [State Name] nvarchar(100), countryid INT)

INSERT INTO #states
SELECT  1, 'Tokya', 2
UNION ALL
SELECT  2, 'Berlin', 3
UNION ALL
SELECT  3, 'Paris', 4
UNION ALL
SELECT  4, 'Bejing', 1

select  c.[Continent Name] AS [@Name]
,   (
    select cc.[Country Name] AS [@Name]
    ,   (
        SELECT  [State Name] AS [@Name]
        FROM    #states ss
        WHERE   ss.countryId = cc.countryId
        FOR XML PATH('State'), TYPE
    )
    FROM    #countries cc
    WHERE   cc.continentId = c.continentId
    FOR XML PATH('Country'), TYPE
    )
from    #continents c
for xml Path('Continent'), ROOT('Geo'), TYPE

Btw, next time, try to post data as create / insert script, instead of a screenshot, it really saves a lot of typing

I was just too late copying all the data....

WITH Continent AS (
   SELECT 1 as Continent_ID, 'Asia' as Continent_Name
   UNION ALL
   SELECT 2, 'Europe'
   UNION ALL
   SELECT 3,'Africa'),
Country AS (
   SELECT 1 as Country_ID, 'China' as Country_Name, 1 as Continent_ID
   UNION ALL
   SELECT 2,'Japan', 1
   UNION ALL 
   SELECT 3, 'Germany', 2),
State AS (
   SELECT 1 as State_ID, 'Tokya' as State_Name, 2 as Country_ID
   UNION ALL
   SELECT 2, 'Berlin', 3 )
select Continent_Name, Country_Name, State_Name
from Continent
inner join Country on Country.Continent_ID = Continent.Continent_ID
inner join State ON State.Country_ID = Country.Country_ID FOR XML AUTO, Root('Geo'), TYPE;

output (after formatting):

<Geo>
    <Continent Continent_Name="Asia">
        <Country Country_Name="Japan">
            <State State_Name="Tokya"/>
        </Country>
    </Continent>
    <Continent Continent_Name="Europe">
        <Country Country_Name="Germany">
            <State State_Name="Berlin"/>
        </Country>
    </Continent>
</Geo>

More info: FOR XML (SQL Server)

A SELECT query returns results as a rowset. You can optionally retrieve formal results of a SQL query as XML by specifying the FOR XML clause in the query. The FOR XML clause can be used in top-level queries and in subqueries. The top-level FOR XML clause can be used only in the SELECT statement. In subqueries, FOR XML can be used in the INSERT, UPDATE, and DELETE statements. FOR XML can also be used in assignment statements.