How exactly do you do it? I dont want to create my own, i want to integrate a feed into a number of different sites to provide some up to date, useful information. I dont understand the concept of how to go about it... can someone shed some light...

I would try this site its what I use and it is free http://www.geckotribe.com/rss/carp/

That depends what version you have of PHP, is it 4x or 5x? Version 5 has better built-in XML functions compared to version 4.