First techie post.
The advanced data set is data for a single match (Bolton v Manchester City, 21-08-12), and is in XML format. This is just a way of organising the data and is used a lot for webpage data and all sorts of other stuff. It's a way of specifying the data, it's not an actually tool for processing the data.
I'm going to be writing all my code in Python, it's my current language of choice. There are numerous place that describe and teach Python, so google it. Here's a webpage describing the built in XML parsing modules in Python. It looks quite useful, but I've not used it in anger yet.