I would start by reading up on how to parse XML files using DOM or SAX. The best place to start learning are the "Introduction to DOM" and "Introduction to SAX" tutorials at
IBM developerWorks (use the search box to find them).
Once you know how to parse the XML document and pick out the pieces of data you're interested about, jump to our
JDBC forum to get help on how to insert data into a database using the JDBC API.