Currently I use:
To link XSL to XML.
If my xml was here: www.externald
You could write a local xml file as wrapper:
And extend your stylesheet so that it understands the wrapper:
I haven't tested it with XML files over http but it works with local XML files that I don't want to change to include a xml-stylesheet processing instruction. It works mit Firefox, Opera and IE (7, I haven't tried other versions)