Yes, it's possible. You can use OPENROWSET to load any file into database. For xml file, the following is an example:
SET NOCOUNT ON
DECLARE @xml xml
SELECT @xml=CAST(BulkColumn as xml) FROM OPENROWSET(BULK N'C:\Program Files\Microsoft SQL Server\90\Samples\Integration Services\Package Samples\ProcessXMLData Sample\DataFiles\Orders.xml', SINGLE_BLOB) A
Now the file Orders.xml is loaded into the variable @xml. Youcan use xquery or OPENXML to handle it, or save it to a table.