Need xml component supporting D2009
Delphi ships with TXMLDocument, which is a wrapper that lets you choose between MSXML, Open XML and Xerces XML.
I just import Microsoft's MSXML and use it directly.
Under Component|Import Component..., select Type Library and browse to Microsoft XML. I recommend 6.0, but you can use 4 if you like. Avoid 3 as it wasn't very compliant with the XML standard and very early versions leak memory, and version 5 is only available with Office.
Update
If speed is a big concern, you might want to take a look at SAX (Simple API for XML), which streams the XML instead of building the DOM in memory. This used to be included in MSXML, but I thought I read somewhere that it had been removed in version 6. I usually use the DOM, so I can't recommend a specific SAX parser, but a quick search on SourceForge returns some options.
The Open XML, Alternative Document Object Model (ADOM) is also a great (and 100% Delphi, no ActiveX/COM dependencies) XML library.
It supports Delphi 5, 6, 7, 8, 2005, 2006, 2007 and 2009.