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>
    <linkshere lhcontinue="787" />
  </query-continue>
  <query>
    <pages>
      <page pageid="1" ns="0" title="Main Page">
        <linkshere>
          <lh pageid="711" ns="0" title="Expansion Packs" />
          <lh pageid="772" ns="0" title="The Well Oiled Scabbard Tavern" />
          <lh pageid="773" ns="0" title="The Dragon Drop Inn" />
          <lh pageid="774" ns="0" title="The Drowning Lizard Brewery" />
          <lh pageid="779" ns="0" title="Product: Fences" />
          <lh pageid="780" ns="0" title="Product: Well" />
          <lh pageid="781" ns="0" title="Product: Tables and benches" />
          <lh pageid="782" ns="0" title="Product: Tables and stools" />
          <lh pageid="783" ns="10" title="Template:NavBoxTop" />
          <lh pageid="785" ns="10" title="Template:RMProducts" />
        </linkshere>
      </page>
    </pages>
  </query>
</api>