That is an excellent question, Mike...I would venture to say that you would want to copy the data from the XML file into SQL Server and run the query 
No, really, you'll probably need to use some of the objects within the System.Xml.XPath namespace (in the System.Xml.dll assembly) or maybe figure out how to use XQuery... however I have never used either of those technologies, so I wouldn't know where to start, though you might Google XQuery or XPath and see what sort of info you can find on it.
The XPath namespace has some objects you can use to create an XML cursor, so if worst comes to worst, you could cursor through the records to find the one that you want, but I'm pretty sure XQuery supports XML indexes, so it should be lots faster.