Excel 2002 is the only released version of Excel that knows what to do with
an XML file. Earlier versions just see it as a text file to be parsed. If
you have Excel 2002 you can just do a File, Open on the XML file. For more
info you might look at these articles:
Going outside of the abilities built into Excel you can reference the MSXML
library and use the Document Object Model (DOM) to bring data into Excel
from an XML file by macro.