It depends on what your needs are and how close to real time that you need it. You can always export from a source like Yahoo, and import the data. http://finance.yahoo.com/q?s=^DJI
You can also try to do some web scraping, but it is not ideal if the format changes.
Another option would be to try and find an XML source that you can import.
Finally, you can try to make use of a web service that provides data. There are plugins out there that can help you very easily use a web service such as one by FMNexus. http://fmnexus.com/products/webservices/
I have tried googel finance which lets me download an xml version. But I mus then save it, then resave it to get it into a Excel worksheet that FM can read. I then import into a seperate table for prices and I have been trying to establish a relationship between that table and the master stock table, without success for some reason. When I tried a direct price import to the master table it wiped out all my data and left me null values for all records. Anyway thanks I will find a way.
You can import an XML file directly, provided you write a XSLT stylesheet to transform it into Fiilemaker's FMPXMLRESULT grammar.
You also might be able to import directly from the service provider (i.e. without downloading the file first), if the service responds to a HTTP GET request. You'll still need to use a transformation stylesheet.