@francesco_somai ...
To be sure, are you using the instructions found at How do I export quiz content from a course?
If so, are you immediately opening the *.zip file that downloads to your computer? If you are trying to open that file, then yes, you would see files like XML and other folders that wouldn't seem very helpful. But, that is all part of the QTI download, and there is no need to open up the *.zip file.
I tested this in my own sandbox course, and it downloaded a *.zip file as expected. Even though I could open up the *.zip file to view the files in it, and even though I could unzip the *.zip file if I really wanted to, there shouldn't be a need to do so.
Hope this helps.