HttpWebRequest req = (HttpWebRequest)HttpWebRequest.Create("http://some.url.com/test.xsl");
HttpWebResponse res = (HttpWebResponse)req.GetResponse();
// load the response into an XmlReader
XmlTextReader reader = new XmlTextReader(res.GetResponseStream());
// prepare the compiled transform
XslCompiledTransform transform = new XslCompiledTransform();
transform.Load(reader);