Post what you have tried so far... what is the URL of the RSS feed you are trying to use and what settings have you configured? And have you tried the "Import Now" button to see if that brings in anything?
We need to see the details (when you Edit the feed) of the settings you are using. The screen shot you included above gives some of the information but not all of it. Plus, could you please copy & paste the URL of the RSS feed that you are using? Will be a lot easier than for somebody else to check it out.