Explain RSS and XML to me

I see these sites with RSS or XML buttons, which I understand is a method to inform me of new content. How do I set one of these up?

You need to get RSS feed reading software – Feedreader, for instance. There’s plenty of freeware.

Then you set it up to read the feed. Click on the RSS or XML icon, then copy the address into the appropriate place in your software. You’ll get notifications of any changes to the page.