I recommend you study on ElementTree for parsing your XML file into memory (parse it all, then emit it all to a SQL DB, is probably easier, but element-tree also allows incremental operation if your file is huge) -- it's part of the standard Python library as module xml.etree.
I recommend sqlite3 (also in the standard Python library) as the relational DB of choice (if you have a choice), again because it's handy and easy -- the underlying SQLite embedded relational DB is also well documented at its own site. If you need a general tutorial on how Python likes to interface to relational DBs (the "DB-API"), there's a nice one here.
Once you fully understand etree and sqlite3 -- and you don't necessarily need to install *any*thing for either (which is part of their charms;-) -- you're basically all set. (Of course an installation of SQLite itself (commandline and/or GUI tools) so you can look at your DB files and tweak them may be nice, as may graphical XML editors such as oXygen or XMLmindto look at and/or tweak your XML, but neither kind of tool is at all needed, not at all related to using Python rather than other languages for the XML parsing and SQLite writing;-).
And yes, you can perfectly well do CREATE TABLE
and other DLL queries from sqlite3
(and any other DB-API compliant Python module, if you choose to use other relational DBs;-).