Similar to the default RSS widget, but gives you complete control over how RSS feeds are parsed for your sidebar.
You MUST be using a widgets-enabled theme. If you are using pre-2.2 WordPress, you'll also need the sidebar widgets plugin.
/wp-content/plugins/, then activate the plugin.
For detailed instructions, check out the "Other Notes" tab.
Be advised: If you post your support questions as comments below, I probably won't see them. Post your support questions at the KB Advanced RSS plugin page on my site if you want an answer.