Set DocumentSource to External File

I have a live XML feed provided to my site and can have it provided in http:// or ftp, I would prefer not to give my FTP details out but cant seem to get it working with http://

        Private Sub Page_Load(ByVal sender As System.Object, _
                      ByVal e As System.EventArgs) Handles MyBase.Load

            'Put user code to initialize the page here
            xmlTransform.DocumentSource = "../xml/Weather.xml"
            xmlTransform.TransformSource = "../xml/weather.xslt"
        End Sub  'Page_Load


That is the code I have that is working but that requires the XML file to be on my Server what I want is

        Private Sub Page_Load(ByVal sender As System.Object, _
                      ByVal e As System.EventArgs) Handles MyBase.Load

            'Put user code to initialize the page here
            xmlTransform.DocumentSource = http://www.thedomain.com/feeds/myxmlfeed.xml"
            xmlTransform.TransformSource = "../xml/weather.xslt"
        End Sub  'Page_Load

I am developing in ASP.Net v 1.1 and it keeps saying http:// is not a virtual path. Having read the documentation on XMLTransform.DocumentSource it seems it does not support external sources, Is this the case or can someone show me a work around.

Thanks in Advance