Look into a library called JAXB. It basically eases the task of XML <-> Java objects conversion. The steps would look something like this:
- Analyze the XML file format and create a XSD out of it (this is the difficult part)
- Autogenerate classes from XSD using xjc
- Load XML file and create objects of out it using the JAXB API
- Use JDBC to insert those objects in the database
One tutorial which highlights the steps above is this. Once you have the objects, inserting them into the DB shouldn't be that difficult.