ATJ777, no, none of the XML files carry any location data, unfortunately. The XML file for your weather station from Tuesday, looks like this, for example:
http://www.wunderground.com/weatherstation/WXDailyHistory.asp?ID=INSWBLAX5&month=04&day=14&year=2010&format=l
The top of that file says:
Time,TemperatureC,DewpointC,PressurehPa,WindDirection,WindDirectionDegrees,WindSpeedKMH,WindSpeedGustKMH,Humidity,HourlyPrecipMM,Conditions,Clouds,dailyrainCM,SoftwareType
2010-04-14 07:04:00,8.3,7.8,1005.0,North,0,0.0,0.0,97,0.0,,,0.0,Cumulus v1.8.9,
2010-04-14 07:19:00,9.3,8.8,1005.3,NW,315,1.6,1.6,97,0.0,,,0.0,Cumulus v1.8.9,
There is nothing there that says anything about a location. The only way to get it would be to crawl the weather station page HTML, which is possible, but a royal pain in the ass because it isn't consistent across the different types of weather stations and is bound to break on any small layout change.