To Produce this: 
================
<ProductModelData ProductModelID="7" ProductModelName="..."  
                  ProductIDs="product id list in the product model" >
  <ProductName>...</ProductName>
  <ProductName>...</ProductName>
  ...
</ProductModelData>

You need this:
==============

SELECT ProductModelID     as "@ProductModelID",
       Name               as "@ProductModelName",
      (SELECT ProductID as "data()"
       FROM   SalesLT.Product
       WHERE  SalesLT.Product.ProductModelID = 
              SalesLT.ProductModel.ProductModelID
       FOR XML PATH ('')) as "@ProductIDs",
       (SELECT Name as "ProductName"
       FROM   SalesLT.Product
       WHERE  SalesLT.Product.ProductModelID = 
              SalesLT.ProductModel.ProductModelID
        FOR XML PATH (''), TYPE) as "ProductNames"
FROM   SalesLT.ProductModel
WHERE  ProductModelID= 7 or ProductModelID=9
FOR XML PATH('ProductModelData')

The key is the ", TYPE" after the "FOR XML PATH(''), the example on MSDN is missing this key component.