It all depends how you want to do it. If you want to create one which you update manually then all you need to do is create an xml file with the basic xml code required for a feed. You can also create dynamic feeds who's contents is made up from database information; to do this all you need to do is create a dynamic page (PHP, ASP etc) and enter the code which will connect you to the database and set the header content type to output the information as 'text/xml'; again, all you need to do after that is enter the revelevant xml code which will output a nested feed.
Here is an example of a basic RSS feed:
Code:
<?xml version="1.0"?>
<rss version="2.0">
<channel>
<title>Liftoff News</title>
<link>http://liftoff.msfc.nasa.gov/</link>
<description>Liftoff to Space Exploration.</description>
<language>en-us</language>
<pubDate>Tue, 10 Jun 2003 04:00:00 GMT</pubDate>
<lastBuildDate>Tue, 10 Jun 2003 09:41:01 GMT</lastBuildDate>
<docs>http://blogs.law.harvard.edu/tech/rss</docs>
<generator>Weblog Editor 2.0</generator>
<managingEditor>editor@example.com</managingEditor>
<webMaster>webmaster@example.com</webMaster>
<item>
<title>Star City</title>
<link>http://liftoff.msfc.nasa.gov/news/2003/news-starcity.asp</link>
<description>How do Americans get ready to work with Russians aboard the International Space Station? They take a crash course in culture, language and protocol at Russia's <a href="http://howe.iki.rssi.ru/GCTC/gctc_e.htm">Star City</a>.</description>
<pubDate>Tue, 03 Jun 2003 09:39:21 GMT</pubDate>
<guid>http://liftoff.msfc.nasa.gov/2003/06/03.html#item573</guid>
</item>
<item>
<description>Sky watchers in Europe, Asia, and parts of Alaska and Canada will experience a <a href="http://science.nasa.gov/headlines/y2003/30may_solareclipse.htm">partial eclipse of the Sun</a> on Saturday, May 31st.</description>
<pubDate>Fri, 30 May 2003 11:06:42 GMT</pubDate>
<guid>http://liftoff.msfc.nasa.gov/2003/05/30.html#item572</guid>
</item>
<item>
<title>The Engine That Does More</title>
<link>http://liftoff.msfc.nasa.gov/news/2003/news-VASIMR.asp</link>
<description>Before man travels to Mars, NASA hopes to design new engines that will let us fly through the Solar System more quickly. The proposed VASIMR engine would do that.</description>
<pubDate>Tue, 27 May 2003 08:37:32 GMT</pubDate>
<guid>http://liftoff.msfc.nasa.gov/2003/05/27.html#item571</guid>
</item>
<item>
<title>Astronauts' Dirty Laundry</title>
<link>http://liftoff.msfc.nasa.gov/news/2003/news-laundry.asp</link>
<description>Compared to earlier spacecraft, the International Space Station has many luxuries, but laundry facilities are not one of them. Instead, astronauts have other options.</description>
<pubDate>Tue, 20 May 2003 08:56:02 GMT</pubDate>
<guid>http://liftoff.msfc.nasa.gov/2003/05/20.html#item570</guid>
</item>
</channel>
</rss>
The main feed is defined with it's own title and description tags, and each item is embedded with in an '<item>' tag and then has its own separate title and description tags to set the item out.