The above answer only deal with DOM parser (that normally reads the entire file in memory and parse it, what for a big file is a problem), you could use a SAX parser that uses less memory and is faster (anyway that depends on your code).
SAX parser callback some functions when it find a start of element, end of element, attribute, text between elements, etc, so it can parse the document and at the same time you get what you need.
Some example code:
http://www.mkyong.com/java/how-to-read-xml-file-in-java-sax-parser/