When I try to import an XML file I keep getting an error

There is a problem with the specified XML or schema source
Click OK to have Excel create a schema on the XML source data.

In the details I see
Error Code: -2146697210
URL: ...
Reason: The system cannot locate the object specified.

The URL point to a server that I do not have access to at this time.

Does this mean the XML file can only be imported properly when connected to
the server? Can one download the server schema and have/use a local copy?
Is so, how?

I am developing a workbook with vba to process these files in bacthes so if
there is a way for me to imbed the schema within my workbook to eliminate
this issue completly I would love to know how it can be done!

Thank you,

QB