No reason you can't use the xmls opposed to the zips, althought would recommend using the zips for size reasons etc.
The format its:http://thetvdb.com/api/
<API Key>/series/<series Id>/all/<language code>.zip eg http://thetvdb.com/api/
More details on the wiki: http://www.thetvdb.com/wiki/index.php/Programmers_API
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