As stated by must of the user, i would recommend downloading chunk by chunk and not the whole file at once, cause if your are doing it on the main tread it can slowdown all your application, so do it with asynctask and do it chunk by chunk.
Apart of that i can recommend you some post about the topic.
-In this post you can find a link to an article about how to use SAX
-In this one you can find another SAX and DOM tutorial
I hope this two articles can help you achieve what you need. Or if both articles fail with your problem, then you may try to find a better way to arrange your XML, there is always a better way of doing it, you just need to think a little bit harder.
UPDATE:
-This other post about STAX may be helpful, cause is a STreaming Api for XML processing, so it may be the best for your case.