John,
You don't say what version of VFP you are using. The later versions of XMLAdapter support hierarchical XML documents. In earlier versions you can use wwxml.vcx from WestWind as a starting point. It will involve getting familiar with using the XMLDOM object.
>I have customer data in XML format. The XML contains of customer information.
>Customer master table contains customer#. The other info such as addresses, order history are stored as nested table. How could I import them using VFP?