first create a user-defined catalog in the database by going to
Database > Materials > Edit catalog > New.
Then go back to the "Assembly" dialog and open the "Material Data" dialog (if an empty layer is currently highlighted, the material data dialog will be empty; if a non-empty layer is highlighted, the material data dialog will be filled with the data for this layer, but they will be discarded in the next step. You may have to "unlock" the dialog if it is filled with read-only data).
Then use the "Import" button to import your XML file and click on the "Paste into Material Database" button. This opens another version of the material data dialog which allows you to write the data to the database. The on-line help for that dialog gives the details of how to do this.