You are looking at the HTML representation of the XML format.
HTML is good for debugging, but is unsuitable for application use.
Specify the format parameter to change the output format.
To see the non HTML representation of the XML format, set format=xml.
See the complete documentation, or API help for more information. 
<?xml version="1.0"?>
<api>
  <query-continue>
    <links plcontinue="1|0|Ethel_MacDonald" />
  </query-continue>
  <query>
    <pages>
      <page pageid="1" ns="0" title="Main Page">
        <links>
          <pl ns="0" title="1820 Insurrection" />
          <pl ns="0" title="A Fight With The Housing Department" />
          <pl ns="0" title="A Public Nuisance" />
          <pl ns="0" title="Allan Burnett" />
          <pl ns="0" title="Angus MacKay" />
          <pl ns="0" title="Charlie and Molly Baird" />
          <pl ns="0" title="Clydeside Apprentices&#039; Strike 1937" />
          <pl ns="0" title="Clydeside Apprentices Strike 1952" />
          <pl ns="0" title="Counter Information" />
          <pl ns="0" title="David Carruthers" />
        </links>
      </page>
    </pages>
  </query>
</api>