If you want to do it all on the server you can use XML HTTP within ASP scripts to retrieve the feed and the parse it directly into the database. The trouble with this approach is you need to have some way to automatically restart from where you left off if a script fails or times out.
Alternatively, and it's the way I do it, you can us a separate PC to take the load off the server and use a program (such as one written in Visual Basic) to download the feeds and manipulate them locally then use myODBC to update the server.
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