Check my feeds page for more information on the feed formats, reader software, validators, etc.
If you don't know what these feeds mean, they're basically a way to follow blogs and websites without having to open your web browser every time, just to check if there's something new.
If you're using Mac OS X, I recommend SlashDock, which displays new items as menu items on the Dock.
For Windows, I haven't found a similar program yet. Sauce Reader seems to be a nice reader though.