Iterate through XML returned by SQL Server.

IterateSqlXml.cs

public IEnumerable<XElement> GetMyThings(string sqlCommandReturningXml)
{
    var connectionString = ConnectionString();//You'll have to write this method. It should return a connection string.

    using (var sqlConnection = new SqlConnection { ConnectionString = connectionString })
    {
        sqlConnection.Open();
        var cmd = SqlCommand(sqlCommandReturningXml, sqlConnection);//You'll have to write this method. It should return a SqlCommand object.
        using (var reader = cmd.ExecuteXmlReader())
        {
            reader.Read();
            while (reader.ReadState != ReadState.EndOfFile)
            {
                if (reader.NodeType != XmlNodeType.Element)
                    continue;
                if (reader.Name != "MyThing")
                    continue;
                var element = XNode.ReadFrom(reader) as XElement;
                if (element != null)
                {
                    yield return element;
                }
            }
        }
    }
}