RSS Feed for separate non-WP site (show the latest post)

I have a website at http://www.mydomain.com and a blog at blog.mydomain.com. Therefore the blog site will not have any connection to the other site. On http://www.mydomain.com’s home page, I need to show the single latest blog posting. It seems that an RSS feed is the way to do this, but how? I couldn’t find any clear code examples for this scenario on your site.