Consuming XML from REST-ful services

After about 2 weeks of reading just about anything there is to read online about WCF, REST-ful services and consuming XML, I am more confused than ever. I was hoping someone could simplify this concept for me.  Here is what I need to do, but have no idea how to do it the "right" way (i.e. the most efficient way)

1. I have to send a GET request to a third-party URL (authenticated) - I have done this successfully in a web browser, so assured it works.
2. This request returns XML
3. I need to read that XML and display it on our web page.

Sounds very simple, but where I am unclear is:

1. Do I have to write a service on my end to send the request or is this just something I can do in my code-behind?
2. Do I have to write a service on my end to receive the request or is this something I can do in my code-behind?

I'm pretty sure I can figure out how to deserialize the XML once I get it, but I'm not sure how to get it from point A (the third-party server) to point B (my server).  I would never be processing more than 1 record at a time, or doing a POST or DELETE. It would only be getting one (extremely long) XML file based on an ID I send.

I have read so many different articles and approaches that I think I confused myself.