Well, it seems to me that the best relationships - the ones that last - are frequently the ones that are rooted in friendship. You know, one day you look at the person and you see something more than you did the night before. Like a switch has been flicked somewhere. And the person who was just a friend is… suddenly the only person you can ever imagine yourself with.

Okay, we need to talk about this:

Mulder knows exactly what to say. He tells Scully what she really needs to hear because he knows her. He knows that she wants and needs an explanation for what is happening. While Mulder does like to be the knight in shining armor he doesn’t do that here. He tells her that she will save herself because he knows she needs to hear that. Even though he has just spent the last few days trying to save her he knows that, in the end, Scully doesn’t need anyone to save her. And he knows that she needs to hear that. She needs to hear that she is the hero of her own story and she will be her own savior. 
Mulder, for all his faults, knows Scully and loves her deeply. He knows what she needs and is there for her to say it. So right here he isn’t telling her “I’m going to fix this and make it all better” but “You are going to fix this and I will be right by your side when you do”.