Have you read the exception message? That would be a good place to start :-)
... If you need to load content from an arbitrary Uri, please see the documentation on Loading XML content using WebClient/HttpWebRequest.
So just use a WebClient
to download the xml file:
Dim client = New WebClient()
Dim stream = client.OpenRead("http://datastore.unm.edu/events/events.xml")
Dim unmEventXml = XmlReader.Create(stream)
Do While unmEventXml.Read()
... Do your stuff ...
Loop