One way is to load the data into a XmlDocument and then extract the nodes using the tag.
The following example has the data embedded directly in the code, but I take it you should first fetch it from somewhere else. Note that the list is only partial to prevent too long code example:
System.Xml.XmlDocument xmlDoc = new System.Xml.XmlDocument();
xmlDoc.LoadXml(@"
<sehirListesi>
<sehir>ISTANBUL</sehir>
<sehir>ANKARA</sehir>
<sehir>ADANA</sehir>
<sehir>ADIYAMAN</sehir>
<sehir>AFYON</sehir>
<sehir>BAYBURT</sehir>
<sehir>BILECIK</sehir>
<sehir>BINGOL</sehir>
<sehir>BITLIS</sehir>
<sehir>BOLU</sehir>
<sehir>BURDUR</sehir>
<sehir>BURSA</sehir>
<sehir>CANAKKALE</sehir>
<sehir>CANKIRI</sehir>
<sehir>CORUM</sehir>
<sehir>DENIZLI</sehir>
<sehir>KUTAHYA</sehir>
<sehir>SIRNAK</sehir>
<sehir>SIVAS</sehir>
<sehir>TEKIRDAG</sehir>
<sehir>TOKAT</sehir>
<sehir>TRABZON</sehir>
<sehir>TUNCELI</sehir>
<sehir>USAK</sehir>
<sehir>VAN</sehir>
<sehir>YALOVA</sehir>
<sehir>YOZGAT</sehir>
<sehir>ZONGULDAK</sehir>
</sehirListesi>");
foreach (System.Xml.XmlNode node in xmlDoc.GetElementsByTagName("sehir")) {
System.Diagnostics.Debug.WriteLine(node.InnerText);
}