function something_menu() {
    $items['something/%id_here'] = array(
        'title' => 'Some title',
        'type' => MENU_NORMAL_ITEM,
    );
    return $items;
}

function id_here_load($arg) {
    $data = get my custom data from an external xml feed based on $arg; //this works nicelly - I get an array with the data I need.
    //WHAT'S NEXT?
}