RSS files (often referred to as RSS feeds) are read by RSS aggregators. There are a number of RSS Aggregators available for which ever operating system you may use (Mac, Linux, Windows, etc). Many pieces of software you may already have on your computer can allow you to read RSS feeds; software like
Firefox, and
Thunderbird, Apple's
Safari web-browser and more. There are also many other desktop applications like
AmphetaDesk,
FeedReader and
NewsGator that are available.
Google Reader a free web-based RSS reader that is very easy to use.. A simple
Google Search turns up thousands of results, so pick your poison. Personally, I prefer using
Mozilla's Thunderbird because I use it as my primary e-mail client, which also lends itself nicely as an RSS aggregator.