Are you talking about implementing it? if so there's a really simple tutorial
here.
Basically, you create an RSS channel, which contains blocks of information about each entry in the feed. For a news headline, this could be presented like this:
CODE
<item>
<title>China to host 2008 Olympics</title>
<link>http://www.http://www.olympic.org//rss</link>
<description>China are hosting this year's Olympics</description>
<author>someoneorather@somewhere.something</author>
</item>
You then use an 'RSS Aggregator', or 'reader' to interpret each block of information and write down all the different things (like 'title' and 'description') on the page. I know that the Firefox browser has an RSS Reader built in, but if you use IE, Google 'rss reader internet explorer' and see what you come up with.
Hope this is now a bit clearer to you