Work with xml file and WordPress

Short answer: simplexml_load_file() + wp_insert_post()

You want to feed on the XML, and parse it for information that you can use to make posts. Here is a short example, because I am not going to dissect that particular feed for you:

$feed = simple_xml_load('http://example.com/feed.xml');

if($feed){
    foreach($feed['items'] as $item){
        $post_args = array(
          'post_title'    => $item->title,
          'post_content'  => $item->body,
          'post_status'   => 'publish',
          'post_author'   => 1, // this should represent you, or an author you want these to belong to
          'post_category' => array(8,39) // optional
        );
        $post_id = wp_insert_post($post_args);
        if($post_id){
            // add  meta values if you want
            $post_meta_values = array(
                'meta_key_slug_1'    => $item->some_information->,
                'meta_key_slug_2'    => $item->some_more_information,
            );

            // add meta
            foreach($post_meta_values as $key => $value) {
                update_post_meta($post_id, $key, $value);
            }
        }
    }
}

I would start by bringing in the xml file and then doing a print_r() of it so you can learn its structure.