What it sounds like you have one level deep XML where only URLs are there at level 1. Somthing like:
<RssItems>
<RssUrl>someUrl1</RssUrl>
<RssUrl>someUrl2</RssUrl>
<RssUrl>someUrl3</RssUrl>
<RssUrl>someUrl4</RssUrl>
....
<RssUrl>someUrln</RssUrl>
<RssItems>
Just use this XML to convert into a Dataset.
Few links for it:
Loading a DataSet from XML (ADO.NET)[
^]
DataSet.ReadXml Method (XmlReader)[
^]
Once you have dataset with you, just bind it to the grid. You can make datagrid columns like hyperlink at designtime. Try!