The best way is going to determine a lot on the business side of this
problem. What type of data is it. How often is it being downloaded?
How often could it be downloaded? What updates the source of this
data in SQL Server? Could the data be access directly from SQL
without XML?
Why are you thinking of using a webservice? The webservice would be a
great interface if SQL isn't accessible directly by providing an easy
to use interface that could be used across an intranet or the Internet
to access the data. But if the user's machine is on the same network
as the SQL Server, your app could easily just read it directly from
SQL Server even in XML format. Either way, it's still likely
transferring the same amount of XML, so speed probably won't be too
different whether you're using XML from a webservice or XML directly
from SQL Server.
Again, there's always more than one way to solve these types of
problems, but the best solution usually depends more on business
requirements than technology. We can tell you that what you are
asking is possible, but whether it's the best solution is questionable
given the limited background you provided.
What are the technical and political limitations, if any? What are
the business requirements beyond being an XML feed? Is that even
required?
I hope that helps.
-Eric Isaacs