Lets say for arguments sake you have 3 fields, colon ( : ) delimited.
Example:
Test1:Test2:Test3
Dim sr as New StreamReader("PathToYourFile\FileName.txt")
Dim line, vals() as String
Dim dt as New DataTable("Content")
dt.Columns.Add("Test1")
dt.Columns.Add("Test2")
dt.Columns.Add("Test3")
Dim dr as DataRow
Do
line = sr.ReadLine
If line is Nothing Then Exit Do
vals = line.Split(":")
If vals.Length < 3 Then
'Add error handling here
Else
dr = dt.NewRow
dr.Item("Test1") = vals(0)
dr.Item("Test2") = vals(1)
dr.Item("Test3") = vals(2)
dt.Rows.Add(dr)
End If
Loop
Dim ds as New DataSet("DATA")
ds.Tables.Add(dt)
ds.WriteXML("somePath\yourfilename.xml")
sr.Close()
sr = Nothing
ds.Dispose()