File-Save as ..
It should work, i.e. you will have a file with the XML contents. The XML file has a style sheet declaration that points also to the generated CSS file (not XSL/FO!)
<?xml version="1.0" encoding="ISO-8859-1"?><?xml:stylesheet href="Stepbystep.css" type="text/css"?><Stepbystep><Doctitle>XML with FrameMaker + SGML Quick Guide</Doctitle> ....
Just a note of warning about the CSS: You text will look rather ugly with IE explorer and Mozilla. The generated CSS is minimalistic (even if you have nice EDD formatting rules). You can CSS with Webworks (a go-along product) but I don't have it installed (yet).
In addition if you try to display it with Mozilla (M18 in my case) you have to edit the declaration. It has wrong syntax, but probably works with IE explorer (don't know about recent versions). Yet another lost hour because of F+S strangeness. (see http://www.w3.org/TR/xml-stylesheet/). Anyhow, replace:
<?xml:stylesheet href="Stepbystep.css" type="text/css"?>
by
<?xml-stylesheet href="Stepbystep.css" type="text/css"?>