Move to SharePoint page you want to add the RSS feed.
Open this page in edit view and add new Web Part called XML Web Part.
Open it's settings window. (Toolpane?)
On the field XML Link insert the RSS feed URL.
Test by clicking the link titled as Test Link.
Push button titled as [XSL Editor].
XSL editing window
<ul><xsl:apply-templates select="item"/></ul>
</xsl:template>
<xsl:template match="item">
<xsl:variable name="item_link" select="link"/>
<xsl:variable name="item_title" select="description"/>
<li>
<a href="{$item_link}" title="{$item_title}"><xsl:value-of select="title"/></a>
</li>
</xsl:template>
Feed titles as bulleted list?