An excellent simple solution for retrieving RSS feeds in Sharepoint is the webpart created by George Tsiokos
For proxy servers & faster performance, I recommend downloading Wget to automatically retrieve RSS feeds from outside the company to a locally run web server. Wget can retrieve remote RSS feeds through proxies that require authentication. You can create a batch file that runs Wget against all external RSS feeds, and configure it to run as a scheduled task. Then, point msxsl to the local web server's cached copy to generate the DWP file. In this configuration, WSS-RSS will retrieve the RSS feed from your local web server for display in SharePoint. You should also lower SharePoint's cache time of WSS-RSS because it is retrieving the feed locally. Because the latency and bandwidth favor your local network, performance will be greatly improved.