Documentation can be found in the R package (R/inst/doc/StatDataML.pdf).
R CMD INSTALL StatDataML
from the command line.
(For Windows, you can get the binary package from http://cran.r-project.org/, e.g., using the 'install packages' menu).
Note that the 'StatDataML' package requires the 'XML' package (also available from the CRAN archive).
Apply:
autoconf
./configure
make
This should create *.m files as well as a readsdml.xxx file in the
'octave' and/or 'matlab' directories, depending on what you have
installed.
Note that you will need the libxml2 library for the 'readsdml' part on
your system (including the libxml header files!).
If it is not installed on your system, you can get the current version
from: http://xmlsoft.org/
When you start Matlab/Octave, make sure to include the corresponding
directory into the search path.
That's all!