Create plugin/function to catch XML-data via Shortcode

If this file is remotely available to you, then you should be using the HTTP API.

$response = wp_remote_request(
     'http://xml.prisguide.no/productExport.php?productId=151690'
    ,array(
        'ssl_verify' => true // If the request isn't working, try it with `false`
     )
);

You then simply go and catch the response and check if it’s an error:

if ( is_wp_error( $response ) )
    // don't expose error to other users than admin
    return current_user_can( 'manage_options' ) ? $response->get_error_message() : '';

Then you go and extract the content.

$content = trim( wp_remote_retrieve_body( $response ) );
$content = new SimpleXMLElement( $content );

Now do whatever you need with your retrieved data.