Is RSS feed something like this that you are given a script which if u add to your website in a page's frame it shows up the contents of the RSS feed script provider.. for example google ad??? is it something like RSS feed????

RSS (really simple syndication) is just are XML file formatted in a standard way.
i'ts generally used for news feeds and there are loads on the BBC site. They are identified by a small orange square with a sign like a speaker.
As a basic XML file they are easy to make and low bandwidths. As you say you can just embed them in your own website or there are lots of specialist readers, screensavers or browsers that will let you read them.

check this out

http://en.wikipedia.org/wiki/RSS_(file_format)