How to convert XML into .net objects.

I'm not quite sure what you've meant. But you cannot convert ANY xml into ANY .Net object.
First your app have to know what types should be xml's attributes/elements.
You should have xsd schema for this purpose.
Let's suppose you have the following xml:

<BillsOutList>
  <BillOut Account="5"
           Destination="RUFBESTQWY"
           Created="2010-12-14T11:34:48.297"
           Modified="2010-12-14T11:34:48.297"
           Amount="10.0000"
           PageNumber="0" />
  <BillOut Account="5"
           Destination="RUFBESTQWY"
           Created="2010-11-22T17:41:25.330"
           Modified="2010-11-22T17:41:25.330"
           Amount="10.0000"  />
</BillsOutList>

The xsd should be:

<xs:schema
  id="IncomeList" xmlns=""
  xmlns:xs="http://www.w3.org/2001/XMLSchema"
  xmlns:msdata="urn:schemas-microsoft-com:xml-msdata">
  <xs:element name="BillsOutList"
              msdata:Locale="en-US">
    <xs:complexType>
      <xs:choice minOccurs="0" maxOccurs="1">
        <xs:element name="BillOut">
          <xs:complexType>
            <xs:attribute name="Account" type="xs:string" />
            <xs:attribute name="Destination" type="xs:string" />
            <xs:attribute name="Created" type="xs:string" />
            <xs:attribute name="Modified" type="xs:string" />
            <xs:attribute name="Amount" type="xs:decimal" />
            <xs:attribute name="PageNumber" type="xs:int" />
          </xs:complexType>
        </xs:element>
      </xs:choice>
    </xs:complexType>
  </xs:element>
</xs:schema>

And the corresponding class:

public class BillOut : IEntity
 {
     private string msAccount = String.Empty;
     private decimal mdAmount;
     private DateTime moModified;
     private DateTime moCreated;
     private string msDestination = String.Empty;
     private int miPage;

     [XmlAttribute]
     public string Destination
     {
         get { return msDestination; }
         set { msDestination = value; }
     }

     [XmlAttribute]
     public DateTime Created
     {
         get { return moCreated; }
         set { moCreated = value; }
     }

     [XmlAttribute]
     public DateTime Modified
     {
         get { return moModified; }
         set { moModified = value; }
     }

     [XmlAttribute]
     public decimal Amount
     {
         get { return mdAmount; }
         set { mdAmount = value; }
     }

     [XmlAttribute]
     public string Account
     {
         get { return msAccount; }
         set { msAccount = value; }
     }

     [XmlAttribute]
     public int PageNumber
     {
         get { return miPage; }
         set { miPage = value; }
     }
     public string GetXSD()
     {
         return "BillsOutList.xsd";
     }
 }

Here is the IEntity:

public interface IEntity
{
    string GetXSD();
}

And to convert it:

Type TType = typeof(T);
if (TType.GetInterface("IEntity") == null)
{
    RowCount = 0;
    throw new CPException(TType.ToString() + " must be iherited from IEntity!");
}
string lsXSDFile = String.Empty;

try
{
    T t = Activator.CreateInstance<T>();
    lsXSDFile = (string)TType.InvokeMember("GetXSD", BindingFlags.Public | BindingFlags.InvokeMethod | BindingFlags.Instance, null, t, null);
}
catch (Exception)
{
    RowCount = 0;
    throw new CPNullException(TType.ToString() + " no XSD!");
}

// check resources
DataSet loDataSet = new DataSet();
Stream schema = Assembly.GetExecutingAssembly().GetManifestResourceStream("yourappnamespaces.Schemas." + lsXSDFile);
if (schema == null)
{
    RowCount = 0;
    throw new CPNullException(lsXSDFile + " No schema in resources!");
}

loDataSet.ReadXmlSchema(schema);

//fill the data
XmlWriterSettings settings = new XmlWriterSettings();
            settings.Indent = true;
            settings.IndentChars = "\t";
            MemoryStream loResultStream = new MemoryStream();
            XmlWriter writer = XmlWriter.Create(loResultStream, settings);
            yourxmlelement.WriteTo(writer);
            writer.Close();
            loResultStream.Position = 0;
            loDataSet.ReadXml(loResultStream, XmlReadMode.IgnoreSchema);
            loResultStream.Close();

But if you can use .Net 4 you can use CodeDOM/Reflection.Emit to create an object dynamically but still you need xsd to know types of properties.

You can't directly convert xml to strong typed .net objects.
Solutions:
1) Use XmlSerializer class, which, deserializes your xml to objects, but, it has to be properly formated.
2) Write your own parsing, and object creation.