You need to create a module to handle that. http://docs.orchardproject.net/Documentation/Walkthrough-Writing-An-Orchard-Module
If you make a Migrations class then you can create the Event in there.
From that you need to then create a service, or something to pull in the XML feed.. Is it something that should run every so often? If yes you might want to look at Background processes in Orchard.
To create and even in Orchard you can do this... _orchardServices.ContentManager.Create("Event")
From there you can start mapping.
Hope that gives you some idea. The best thing is to hunt around the code base looking at the modules directory to see how other stuff is implemented.