You'd write a script using the Import XML option of the Import Records step. You can specify an http address to get the xml, either an xml file itself, or, more often, a url request to a web service which provides an xml file. But that's just going to provide you with the xml as they wrote it. Which is almost certainly NOT the xml structure which FileMaker requires in order to import the data.
To "transform" the data into the structure which FileMaker needs requires an XSL stylesheet. XML is about the mostly intelligent text file data transfer system possible. You have to do a lot more than just line it up. But in many cases the xml you're trying to transform is quite simple. The structure needed for FileMaker is also fairly simple, though a bit verbose. You can see it by going to the file/table you wish to import into, then using Export XML, FMPXMLRESULT grammar, but no stylesheet, and export a record or two.
Basically, there's a learning curve. If the XML source is a public one, post a link here, so we can see what you would get. If the result is fairly simple, someone may help you write the XSL. It can be a bit tedious however. You really need to learn more about it. It will be useful now and in the future. XML is here to stay.
Yes, but i need to tell me the process. :)