The "RSS Feed" link will popup a new window with the feed. This option is available is different module and shows the latest postings that were added in the module. Your web browser will automatically parse the data so its readable to you so different web browsers will make the feed look different.
Some 3rd party applications out there have a built in RSS parser and to insert a feed from another website you simply copy the URL in your web browser address bar and paste it into any RSS parser so you get up to the minute information from a web site.