You'll want to look at a DOM XML API like JDom which reads an XML file into a Tree like structure in memory. Once you have that putting that structure into a JTree is relatively easy.
After a bit of googling (which I hope you are doing) I found the following code on a JDom mailing list. I have not ran or tested this code in any way. So don't complain to me if it doesn't work for whatever reason. At the very least, it should get you going.