A number of web-based RSS readers are available as desktop software programs that reside on your computer.
In Microsoft Outlook there is an folder in which to place your feed.
web-based examples: AOL Reader, Feedly, My Yahoo
desktop examples: Awasu, SharpReader, FeedDemon, NetNewsWire (Mac)
For other examples: CNET Reviews: RSS Readers
Google Chrome Extension is a simple way to add an RSS reader to your computer.
In addition to the web-based and desktop based readers, some web browsers have incorporated RSS as a plugin. For instance, the Firefox browser allows you to incorporate RSS feeds right into live bookmarks. So rather than having to open your RSS reader, you can view your RSS feeds right from your bookmarks.
If a web page does not offer an RSS feed itself, you can use Page2RSS to set one up for you.