A remote site is supplying a data structure in a js file.
I can include this file in my page to access the data and display it in my page.
<head> <script type='text/javascript' src='http://www.example.co.uk/includes/js/data.js'></script> </head>
Does anyone know how I use PHP to take this data and store in it a database?
You should GET that file directly, via, for example, CURL. Then parse it, if it comes in JSON, you can use json-decode.
Simple example (slightly modified version of code found here):