DataSource Controls :: Writing Data To Database In One Go?

I was just wondering that when we insert some datainto database we can use the following method.

create a sql datasourse ,
set the conection string,
set the insert comand type,
set insert parameters,
and Set the SQL Statement like
sqldatasource.insertStatement="insert into tablename(field1, field2) values(@parameter1, @parameter2)";

and then call the datasourse insert() function,
this method is usually used for single line insertion at the end of the DB.

Now I am a starter in asp.net c#,

I want to know that if There is a way that I have lots of data like some XML file that have the same table structure as the SQL database table
and I want to write that data to the database, HOw to do it Properly,

I can Still achieve the required results by iterating through XML datarows and for each row conecting to db and inserting and then disconecting dfrom the db,

But I want to know that if there is a way to do it in one go meaning I have to conect to database only one time,

Note: I already have some data in my SQL table, there are three fields(ID Name and Nickname) the ID(primary key) is INT type and auto incremented, the name and nickname are strigns.
the xml file has the structure

<userdata>
<user>
<name>michel</name>
<nickname>micho</nickname>
</user>
</userdata>