Ok so the basic look of my main.xml file looks like this:
<?xml version="1.0"?>
<?xml-stylesheet type="text/xsl" href="merge-rss.xsl"?>
<feeds>
   <link href="http://digg.com/rss/index.xml"/>
   <link href="http://www.osnews.com/files/recent.xml"/>
</feeds>

The xml its pointing to generally looks like this (just common RSS):
<?xml version="1.0" encoding="windows-1252"?>
<rss version="2.0">
 <channel>
   <title>Test Feed</title>
   <description>Test Feed</description>
   <link>http://www.test.feed</link>
   <item>
     <title>One</title>
     <description>This is item number 1</description>
     <link>http://www.test.feed</link>
   </item>
 </channel>
</rss>