Is it possible to create a script to import the contence os a CSV or TXT file that is hosted live on the internet straight in to your database without first having to save the file to your computer ?????

If so please could some one point me in the right direction so that i can do it...

You would have to provide more information such as:
What type of hosting do you have? Dedicated, non-dedicated? What type of access?
What database server?
Is the csv/txt on another server or internet site?

You can do it, but you'll have to parse it and then give it directions how to be inserted into the database.

DTS did this back in 1997. It's no problem at all.