Check out the NotesDOMParser class - available in LotusScript - which lets you (indirectly) pull XML from a remote URL and process in a an XML DOM object.
You can pull the XML into a string using the MSXMLHTTP COM object, then use NotesStream to send the XML to the NotesDOMParser.
I have not tested, but the code would look something like this:
...
Set objXML = CreateObject("Microsoft.XMLHTTP")
objXML.open "GET", sURL, False, "", ""
objXML.send("")
sXMLAsText = Trim$(objXML.responseText)
Set inputStream = session.CreateStream
inputStream.Open (sXMLAsText)
Set domParser=session.CreateDOMParser(inputStream, outputStream)
domParser.Process
...
Documentation: http://publib.boulder.ibm.com/infocenter/domhelp/v8r0/index.jsp?topic=/com.ibm.designer.domino.main.doc/H_NOTESDOMPARSER_CLASS.html