XML is explained in the manual and you can also check out this other example of use making an XML file for dialogs and displaying them.
In your case you will need to use the content of the XML to create your list in the list object, shouldn't be too hard (in regards to the tutorial and changing the display from a text object to a loop creating list items/indexes)
Also check the How do I FAQ at the category "List" for examples of use out of an array which can be adapted to your needs though.
For displaying "media", as long as it is an image, I guess you could use the "Load image from URL" action from a dedicated sprite object to display the selected picture (as long as your xml would contain the appropriate URL for the image to display).
Other medias like sound, I'm afraid cannot be dynamically streamed that way (not that I know of at least).