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|DJ_Training_Part_3:_EAS,_Legal_Stuff_and_the_FCC" />
  </query-continue>
  <query>
    <pages>
      <page pageid="1" ns="0" title="Main Page">
        <links>
          <pl ns="0" title="AV Studios Overview" />
          <pl ns="0" title="Arts and Events Calendar Script Template" />
          <pl ns="0" title="Assisting Session Audio Engineer" />
          <pl ns="0" title="Audio Editing Exercises" />
          <pl ns="0" title="Bouncing to Disk" />
          <pl ns="0" title="Charting the music guidelines" />
          <pl ns="0" title="Charts and Adds" />
          <pl ns="0" title="Concert Calendar Script Template" />
          <pl ns="0" title="DJ Training Part 1: Basics of Programming" />
          <pl ns="0" title="DJ Training Part 2: Wide Orbit Automation System" />
        </links>
      </page>
    </pages>
  </query>
</api>