Using cURL to download images in XML feed?
If a shell script solution is acceptable as well, try the following

#!/bin/bash
URL='http://tweetriver.com/hud_ro/steer_filtered.xml?include_entities=1'
i=0
for u in $(curl -s "$URL" |
           grep jpg | 
           sed -E 's/.*&lt;profile_image_url&gt;(.+)&lt;\/profile_image_url&gt;/\1/'); do
    curl -s "$u" -o $i.jpg
    (( i++ ))
done


This of course only works for this specific XML example and requires all files to be in jpg format.