How to Setup Practice Data Warehouse w/ Live Data Feed (i.e. NOAA)

Apologies in advance if this question is too broad, but I have spent about 8+ hours trying to find path forward and have failed.

I am learning data warehousing on Microsoft stack, and I would like to set up a SQL Server environment that has new data coming in every day (to simulate business transactions in a company). Thus, I would like to utilize a data source where I can connect to it live and get daily updates.

I have researched a couple free data sources like NOAA, but I cannot find any articles or step-by-step tutorials that teach how to connect to the XML feeds, and have it populate the SQL environment automatically.

Can anybody help steer me in the right direction for getting some guidance on how to do this? Any help would be great, keeping in mind that I have never done this. Even a pointer to a course somewhere or method of study would be great.

Thanks all.