Firstly, you have to ask the bank to provide their MT940 file converted to another Format (preferably csv or Excel). This can be different for different Banks.
Get a sample file, do the mappings against BankAccountTrans table in AX. Write your Code to read the file and Import in AX.
In 2012 you have easier options, but for 2009 I guess you cannot skip development. (maybe there is an Extension/addin I'm unaware of)