Increasing amount of commercial data is presented in XML format for exchanging or publishing on the web. It is emerging as a new standard for information representation and exchanging over the Internet. How to retrieve valuable information from XML documents on the web is a new challenge to data mining research. Compared with relational database, XML data in documents is stored as file with tree logical structure inside, it results in lower efficiency and performance in directly querying data. So it is still necessary to transform data into database (warehouse) for data mining afterwards. In this paper, we present a scheme to analyze relation of elements in XML on the web, and construct relational database schema based on the analysis. During the process, there would be a worthy accessory product -- a glossary, which can facilitate the process of data mining warehouse designing and building.