Subject to the size of the site/ frequency of updates it can be a normal static XML document that is updated either manually or programmatically. If it is a large site with many updates or many different RSS feeds (eg a forum) then it is generally better to have a script to create the XML on the fly from a db query and then simply cache the output for a few minutes/ hours http://aspnet.4guysfromrolla.com/articles/060607-1.aspx has a how to in .Net
I've sent you a PM since I'm not quite ready to share this (or the site that it's hosted on). You can use the script, but please don't redistribute it or the link I gave you in the PM.