That would be a known incompatibility in versions of the XML module prior to 4.03.05 with DotNetNuke versions 5.03.00 and later. You indicated that you were installing DNN 5.06.02 which would include XML module 4.03.05 which corrected this issue so I'm not sure how you happened to have an older version of the XML module.
To Fix:
1. Locate the file download.vb in the App_Code\XML\Handlers directory
2. Open the file for editing in NotePad or other text editor.
3. Edit line 34 changing
Private Sub RenderToResponseStream(ByVal Response As Web.HttpResponse, ByVal controller As XmlController)
to
Private Sub RenderToResponseStream(ByVal Response As
System.Web.HttpResponse, ByVal controller As XmlController)
4. Edit line 89 changing
Private Sub handleAuthenticateRequest(ByVal context As Web.HttpContext)
to
Private Sub handleAuthenticateRequest(ByVal context As
System.Web.HttpContext)
5. Save the file changes and if working remotely re-upload the corrected file to your the App_Code\XML\Handlers directory of your web server.
That should get the site working again. I would then download XML module version 4.03.05 from it's CodePlex downloads site (
http://dnnxml.codeplex.com/releases/v...) and install it using the Install Wizard on the Host -->Extensions page. There is also an XML v 6.00.00 RC3 available but it has not yet completed final release testing.