There is what Paul suggested, and also variants of TeX which directly
take Unicode as input: Aleph (which must be included in MikTeX), ExTeX:
on any platform, and XeTeX:
on the Macintosh. I have no experience of the first two, being a Mac
user, but they don't seem to be straightforward; as to XeTeX, it's as
easy to use as standard TeX.
I think there are no ready made XSL stylesheets to convert XML into
LaTeX without modyfing the encoding. You would have to write them, if
you chose Aleph, ExTeX or XeTeX.