ikegami will probably come along and embarrass me by doing this in 4 lines but here you go. You can easily skip the DN elements if you choose or do a separate XML doc for each, et cetera, with what I hope will become obvious tweaking. XML with regexes is a land of tears. Just say no. Reading: XML::LibXML. Update: also, ->toFile in XML::LibXML::Document to easily put the DN ids out to files though the necessary tweaks to the code to create a doc per DN are left to you. :)

use strict;
use warnings;
use XML::LibXML;

my $doc = XML::LibXML::Document->new( "1.0", "UTF-8" );
my $root = $doc->createElement("root");
$doc->setDocumentElement( $root );

while ( my $ident = <DATA> )
{
    $ident =~ s/\A\.\.|:.*//gs;
    chomp( my $value = <DATA> );
    my $node = $doc->createElement($ident);
    $node->addChild($doc->createTextNode($value));
    if ( $ident eq "p" )
    {
        my $last = $root->lastChild;
        if ( $last->nodeName eq "con" )
        {
            $last->addChild($node);
        }
        else
        {
            my $con = $doc->createElement("con");
            $root->addChild($con);
            $con->addChild($node)
        }
    }
    else
    {
        $root->addChild($node);
    }
}

print $doc->serialize(1);

__DATA__
..DN:
1
..id:
000044119
..DD:
Friday, October 30, 2009
..p:
THis is param1
..p:
THis is param2
..p:
THis is param3
..DN:
2
..id:
000044119
..DD:
Friday, October 30, 2009
..p:
THis is param1
..p:
THis is param2
..p:
THis is param3
[download]

Output-

<?xml version="1.0" encoding="UTF-8"?>
<root>
  <DN>1</DN>
  <id>000044119</id>
  <DD>Friday, October 30, 2009</DD>
  <con>
    <p>THis is param1</p>
    <p>THis is param2</p>
    <p>THis is param3</p>
  </con>
  <DN>2</DN>
  <id>000044119</id>
  <DD>Friday, October 30, 2009</DD>
  <con>
    <p>THis is param1</p>
    <p>THis is param2</p>
    <p>THis is param3</p>
  </con>
</root>
[download]