I was having some issues using umbraco.library.GetXmlDocumentByUrl. I kept receiving this error when saving the XSLT file.

System.Xml.XmlException: An error occurred while parsing EntityName. Line 3, position 106. 
at System.Xml.XmlTextReaderImpl.Throw(Exception e) 
at System.Xml.XmlTextReaderImpl.Throw(String res, String arg) 
at System.Xml.XmlTextReaderImpl.Throw(String res) 
at System.Xml.XmlTextReaderImpl.ParseEntityName() 
at System.Xml.XmlTextReaderImpl.ParseEntityReference() 
at System.Xml.XmlTextReaderImpl.Read() 
at System.Xml.XmlLoader.LoadNode(Boolean skipOverWhitespace) 
at System.Xml.XmlLoader.LoadDocSequence(XmlDocument parentDoc) 
at System.Xml.XmlLoader.Load(XmlDocument doc, XmlReader reader, Boolean preserveWhitespace) 
at System.Xml.XmlDocument.Load(XmlReader reader) 
at System.Xml.XmlDocument.LoadXml(String xml) 
at umbraco.library.GetXmlDocumentByUrl(String Url)

I searched the forums here and didn't find a solution. I determined that the issue only occurred with xml feeds outside of our network. Adding a default proxy to the web.config fixed this issue. Here's how to do that:

Locate the <system.net> </system.net> tags

 <defaultProxy>
 <proxy proxyaddress="http://servername:port" />
 </defaultProxy>

I hope that helps someone out.