<root>
   <header name ='a'>
       <item name='11' />
       <item name='22' />
   </header>
   <header name ='b'>
       <item name='33' />
       <item name='44' />
       <item name='55' />
   </header>

</root>

// create the XmlDocument and add <root> node
XmlDocument doc = new XmlDocument();
doc.AppendChild(doc.CreateElement("root"));

// dictionary to keep track of <header> nodes
Dictionary<string, XmlNode> nodesPerColumnA = new Dictionary<string, XmlNode>();

// Loop through data rows
foreach (DataRow row in tbl.Rows)
{
   // extract values for ColumnA and ColumnB as strings
   string columnAValue = row["ColumnA"].ToString();
   string columnBValue = row["ColumnB"].ToString();

   // create a new <item> XmlNode and fill its attribute @Name
   XmlElement newNode = doc.CreateElement("item");

   XmlAttribute newNodeAttribute = doc.CreateAttribute("name");
   newNodeAttribute.InnerText = columnBValue;

   newNode.Attributes.Append(newNodeAttribute);

   // check if we already have a <header> node for that "ColumnA" value
   if(nodesPerColumnA.ContainsKey(columnAValue))
   {
       // if so - just add <item> below that <header>
       XmlNode parent = nodesPerColumnA[columnAValue];

       parent.AppendChild(newNode);
   }
   else
   {
       // if not - create appropriate <header> node and its @name attribute
       XmlElement header = doc.CreateElement("header");

       XmlAttribute headerAttr = doc.CreateAttribute("name");
       headerAttr.InnerText = columnAValue;

       header.Attributes.Append(headerAttr);

       header.AppendChild(newNode);

       doc.DocumentElement.AppendChild(header);

       // store that <header> xmlnode into the dictionary for future use
       nodesPerColumnA.Add(columnAValue, header);
    }
 }

 // check the contents of the XmlDocument at the end
 string xmlContents = doc.InnerXml;

SELECT
    ColumnA AS '@name',
    (SELECT ColumnB AS '@name'
     FROM YourTable t
     WHERE t.ColumnA = YourTable.ColumnA
     FOR XML PATH('item'), TYPE)
FROM
    YourTable
GROUP BY
    ColumnA
FOR XML PATH('header'), ROOT('root')

<root>
  <header name="a">
    <item name="11" />
    <item name="22" />
  </header>
  <header name="b">
    <item name="33" />
    <item name="44" />
    <item name="55" />
  </header>
</root>

var qry = from row in Table
          group row by row.ColumnA into header
          select header;

var elem = new XElement("root");

foreach (var header in qry)
{
  var elemHead = new XElement("header", new XAttribute("name", header.Key));
  elem.Add(elemHead);
  foreach (var item in header)
    elemHead.Add(new XElement("item", new XAttribute("name", item.ColumnB)));
}
// the variable elem contains the result.

XDocument yourDocument = new XDocument(new XElement("root",
    new XElement("header",
        new XAttribute("name", "a"),
        new XElement("item",
            new XAttribute("name", "11")),
        new XElement("item",
            new XAttribute("name", "22"))),
    new XElement("header",
        new XAttribute("name", "b"),
        new XElement("item",
            new XAttribute("name", "33")),
        new XElement("item",
            new XAttribute("name", "44")),
        new XElement("item",
            new XAttribute("name", "55")))));