SQL Server 2008 :: Import Xml File From Web Page

I want to import xml file directly from web page into microsoft sql table. At the moment the import is done after the XML file is downloaded local.I want to skip this step to manualy download the file.It can be done in SQL? when i change the path i get this error: Cannot bulk load because the file URL... could not be opened. Operating system error code 123(The filename, directory name, or volume label syntax is incorrect.)

below is the code

DECLARE @idoc INT
DECLARE @doc XML
SET @Doc = (SELECT * FROM OPENROWSET(BULK 'F:Folderbrfxrates.xml', SINGLE_CLOB) AS xmlData) -- 1 LOCAL works
--SET @Doc = (SELECT * FROM OPENROWSET(BULK 'http://www.bnr.ro/nbrfxrates.xml', SINGLE_CLOB) AS xmlData) -- from web i get error
SELECT @Doc

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