it's an error caused by insufficent permissions ie. your website is running under partial trust (probably medium trust as that's what many ISP's use). Please read "DotNetNuke Code Access Security.pdf" in the documentation download to understand more, and some of the options to workaround it.

Cathal

Well, the medium trust setting is applicable to any website running via IIS, whether the operating system is Windows Server or XP.  If you see something like the following line uncommented in your web.config then you are likely running in medium trust and you will likely get the error you describe when trying to access a resource (ie. RSS Feed) external to your web application. 

    <trust level="Medium" originUrl="http://localhost/.*" />

The Code Access Security trust level can be set at the machine level (machine.config).  This means that even if your specific site's web.config does not set the trust level to medium trust, the machine as a whole might be set to run at that trust level.  This is common in the shared hosting environment (ie. $5 - $15 per month sites from people like GoDaddy/WebHost4Life). 

If this is happening on your local computer, check the web.config and machine.config.  If medium trust, or another partial trust configuration is not enabled, then perhaps you could describe your issue in a little more detail.  Note some of your other settings, including the feed itself.