If you have never subscribed to an RSS feed for a blog before, it can be a bit confusing.
Basically it is an automated way of being alerted that there is a new post on the blog site that you are subscribed too. To get a subscription up and running you need a Reader and then the "feed".
If you have the latest version of Internet Explorer (version 7) there is a RSS reader built in to the program. Instructions for how to set it up can be found
here.
If you are using Mac OSX, Safari and Mail both have inbuilt RSS readers that will deliver your subscription to either. Just look for the blue RSS at the end of the address bar in Safari and click on it to add a subscription.
Mozilla firefox also has built in reader features. Look for the orange RSS square at the end of the address bar.
There are also several other good blog reader services around Google Reader - if you are really wanting to keep on top of a serious number of blogs.