Non-jQuery version:

var parseXml;

if (window.DOMParser) {
    parseXml = function(xmlStr) {
        return ( new window.DOMParser() ).parseFromString(xmlStr, "text/xml");
    };
} else if (typeof window.ActiveXObject != "undefined" && new window.ActiveXObject("Microsoft.XMLDOM")) {
    parseXml = function(xmlStr) {
        var xmlDoc = new window.ActiveXObject("Microsoft.XMLDOM");
        xmlDoc.async = "false";
        xmlDoc.loadXML(xmlStr);
        return xmlDoc;
    };
} else {
    parseXml = function() { return null; }
}

var xmlDoc = parseXml("<foo>Stuff</foo>");
if (xmlDoc) {
    window.alert(xmlDoc.documentElement.nodeName);
}

Since jQuery 1.5, you can use jQuery.parseXML(), which works in exactly the same way as the above code:

var xmlDoc = jQuery.parseXML("<foo>Stuff</foo>");
if (xmlDoc) {
    window.alert(xmlDoc.documentElement.nodeName);
}