Q:

When I am trying to import XML from a URL this is not working correctly

Stuggling to get XML to import, keep getting 

403 Error

As a basic, am I code blind and pulling it in wrong? 
When I go to http://musicbrainz.org/ws/2/artist/?query=artist:coldplay this works.
However I've tried the below code and get a 

403 error

I've tried a few other things, but the below code is based on https://docs.microsoft.com/en-us/dotnet/csharp/programming-guide/concepts/linq/querying-an-xdocument-vs-querying-an-xelement
var url = "http://musicbrainz.org/ws/2/artist/?query=artist:coldplay%20AND%20type:group%20AND%20country:GB";

XDocument doc = XDocument.Load(url);

IEnumerable <XElement> childList =
    from el in doc.Elements()
    select el;

foreach (XElement e in childList)
    Console.WriteLine(e); 

Additional, I have also tried:
HttpWebRequest request = (HttpWebRequest)WebRequest.Create("http://musicbrainz.org/ws/2/artist/?query=artist:coldplay");
HttpWebResponse response = (HttpWebResponse)request.GetResponse();

A:

It seems in your case the server was expecting you to set a UserAgent header before you can fetch the xml:
HttpWebRequest request = (HttpWebRequest)WebRequest.Create("http://musicbrainz.org/ws/2/artist/?query=artist:coldplay");    
request.UserAgent = "My Super Script";
HttpWebResponse response = (HttpWebResponse)request.GetResponse();  

XDocument doc = XDocument.Load(response.GetResponseStream());

IEnumerable<XElement> childList =
    from el in doc.Elements()
    select el;

foreach (XElement e in childList)
    Console.WriteLine(e);

Read more about their API here: https://musicbrainz.org/doc/Development/XML_Web_Service/Version_2

