There are various ways to do it, one good approach is using XMLDOM object
here is a small piece from msdn

Dim xmlDoc
Dim currNode

Set xmlDoc = CreateObject("microsoft.xmldom")
xmlDoc.async = false
xmlDoc.load("c:\books.xml")
Set currNode = xmlDoc.documentElement.childNodes.item(1)
MsgBox currNode.xml

you can read a xml into a SP also,though i find it quite restrictive, have a look at OPENXML function in SQL 2000