Apply XSL to External XML

You could write a local xml file as wrapper:

<?xml version="1.0" encoding="UTF-8"?>
<?xml-stylesheet type="text/xsl" href="XSL.xsl" ?>
<wrapper Source="http://www.externaldomain.com/rss.xml"/>

And extend your stylesheet so that it understands the wrapper:

<xsl:template match="wrapper">
  <xsl:apply-templates select="document(./@Source)"/>
</xsl:template>

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)