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I would suggest buying a book on C# and reading it, and perhaps reading my article on how to use google. It seems you have some questions that are pretty basic, and so broad that it's not possible to answer them. You read an XML file using on of the built in classes, such as XML Document. You iterate over the XML using XPath. You insert data into the database with ADO.NET code. That's as specific as anyone is going to get, based on how huge your question is, and how obvious it is that you ask without doing some research first.
Christian Graus Driven to the arms of OSX by Vista.
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Any ol' way you like.