Yes, it usually takes some programming in either javascript, or on the server side (php,asp,...).
Either way you basically have to write code that will retrieve the rss file parse it, then incorporate the data into your site the way you want. There are a lot of libraries out there that already do this you just have to find the right one appropriate to your exact needs and plug it in.
I was wondering if I can insert an RSS feed into my HTML website? A feed like: http://feeds.pirillo.com/ChrisPirillo for example.

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