Here's the code for this article, and afterwards I'll go into further detail. If you wish, you may now copy and paste the code below to an .aspx file and the XSL code below to pubs.xsl for a quick glance at the results, which may make it easier to follow what going on as we progress. Incidentally, this example utilizes SQL Server Pubs database, so you'll need that ready to go. So, here goes:

<%@ Import Namespace="System.Data" %>
<%@ Import Namespace="System.Data.SqlClient" %>
<%@ Import Namespace="System.Xml" %>
<%@ Import Namespace="System.Xml.Xsl" %>
<%@ Import Namespace="System.IO" %>
<script language="C#" runat="server">
void Page_Load(){
    Get_XML_Data();
    //Get_XML_DataGrid();
}
void Get_XML_DataGrid(){
    DataSet myDataSet = new DataSet();
    myDataSet.ReadXml(Server.MapPath("pubs.xml"));
    xmlDG.DataSource = myDataSet;
    xmlDG.DataBind();
}

void Get_XML_Data() {
    string strConnect = "server=(local);uid=sa;pwd=;database=pubs;";
    SqlConnection objConnect = new SqlConnection(strConnect);
    SqlDataAdapter objCommand = new SqlDataAdapter("SELECT * FROM authors order by au_lname asc", objConnect);
    objConnect.Open();
    DataSet objDS = new DataSet();
    objCommand.Fill(objDS);
    objDS.DataSetName = "PubsList";
    if (!File.Exists(Server.MapPath("pubs.xml"))) {
        objDS.WriteXml(Server.MapPath("pubs.xml"), XmlWriteMode.IgnoreSchema);
    }
    XmlDocument XMLdoc = new XmlDocument();
    XMLdoc.Load(Server.MapPath("pubs.xml"));
    XslTransform XMLtrans = new XslTransform();
    XMLtrans.Load(Server.MapPath("pubs.xsl"));
    xmloutput.Document = XMLdoc;
    xmloutput.Transform = XMLtrans;
    objConnect.Close();
}
</script>
<ASP:DataGrid id="xmlDG" runat="server" />
<asp:xml id="xmloutput" runat="server" />