Well, welcome to RSS!  I think the best place to start is to visit DNNCreative, a nice DNN focused site that has a very nice treatment of RSS compiled and developed by Lee Sykes. Issue 3  is devoted to RSS and tutorials.

Also, you'll want to read about security issues, and DNN configuration of  Code Access Security (CAS) 'Trust' levels that enable RSS to be used on remote hosts.  See the DNN document, recently posted in another forum question by Cathal:

http://www.dotnetnuke.com/About/Documentation/ProjectDocuments/tabid/478/Default.aspx 

Once, you've gotten your arms around the basics, check the forums by searching for examples of XSL, I've posted quite a few  that should get you rolling.  There are a number of folks in the DNN community using RSS, so the best advice to continue on the learning curve is to set up a local test DNN site on your workstation and play aournd. 

Searching the forum by following specific members previous posts is a good way to get a grip on what's been said on these forums, and remember you can always search the web with key phrases like 'DNN RSS XSL' , or even a DNN community member's handle.

Cheers