I'm confused on exactly what you want to do, so I'll give you what I think it is, and you can correct me if my interpretation is wrong.
The RSS feeds you get when you click the Syndicate With RSS link from MSN Spaces is a feed that includes an embedded stylesheet, which means the content of the feed is linked to a stylesheet file on their site.
Now, if you want to use the feed in your DNN site, you can copy the URL, and place it in the URL textbox for the RSS, and without further work, this will display on your DNN site, but it doesn't exactly render any HTML formatting because the default xsl translation fiel for DNN disables HTML.
If you want to render the HTML in the feed, you will need a custom RSSv2.0 xsl file. Here's a simple one to get you started:
<?xml version="1.0"?>
<xsl:stylesheet version="1.0" xmlns:xsl="http://www.w3.org/1999/XSL/Transform">
<!-- xmlns:xsl="http://www.w3.org/TR/WD-xsl" -->
<!-- phil 'iwonder' guerra - simple RSSv2.0 xsl -->
<xsl:output method="html" indent="yes"/>
<xsl:param name="TITLE"/>
<xsl:template match="rss">
<xsl:apply-templates select="channel" />
<xsl:apply-templates select="channel/item" />
</xsl:template>
<xsl:template match="channel">
<strong><a href="{link}"><xsl:value-of select="title"/></a></strong><br/>
<font size="-3">
<xsl:value-of select="description" disable-output-escaping="yes"/>
</font>
<hr/>
</xsl:template>
<xsl:template match="channel/item">
<font size="-3" color="maroon"><b><xsl:value-of select="pubDate"/></b></font> <br/>
<strong><a href="{link}">
<xsl:value-of select="title"/></a></strong>
<br/>
<xsl:value-of select="description" disable-output-escaping="yes"/><br/>
<hr/>
</xsl:template>
</xsl:stylesheet>
Take the code, copy and paste into your text editor and save it to a local file store. Then, access your site, and the module using the Admin signon. Modify the newsfeed, and in the section for the News Feed Style Sheet, click on the 'Upload New File' link, browse the location where you saved your new simple xsl file from above, and click 'Upload Selected File' link, and update the settings.
Refresh the browser window and the feed should show render the pubDate, Title (link), and Descpription including the HTML formatting.
If that's not what you wanted, just let me know.
Cheers