Download XML Data that's in an RSS Feed

I've been looking at a few modules but I can't seem to find something closer to what I'm looking for.

I have a couple rss feeds that I'm trying to merge using Yahoo Pipes (due to inconsistencies). Each item in the RSS has a link to a custom XML file. Each time a new RSS item comes in, I want to read the link to the XML, parse the XML and put it into a new CCK node, that I've created.

I'm really not sure where to start with this one. Any help would be greatly appreciated.