Drupal does not ship with an RSS feed that will show you the latest comments posted on the site. There is a module called Comment RSS that does the same thing, but I have had some issues with it and did not want the overhead of using another module for something as simple as that. Instead, you can use the Views module to generate the RSS feed. I am posting here the one that I am using. Just import it into your feed and use it.

$view = new view;
$view->name = 'commentfeed';
$view->description = 'rss feed of latest comments';
$view->tag = '';
$view->view_php = '';
$view->base_table = 'comments';
$view->is_cacheable = FALSE;
$view->api_version = 2;
$view->disabled = FALSE; /* Edit this to true to make a default view disabled initially */
$handler = $view->new_display('default', 'Defaults', 'default');
$handler->override_option('sorts', array(
'timestamp' => array(
'order' => 'DESC',
'granularity' => 'hour',
'id' => 'timestamp',
'table' => 'comments',
'field' => 'timestamp',
'override' => array(
'button' => 'Override',
),
'relationship' => 'none',
),
));
$handler->override_option('access', array(
'type' => 'none',
));
$handler->override_option('items_per_page', 30);
$handler->override_option('row_plugin', 'comment');
$handler->override_option('row_options', array(
'links' => 1,
));
$handler = $view->new_display('feed', 'Feed', 'feed_1');
$handler->override_option('style_plugin', 'rss');
$handler->override_option('style_options', array(
'mission_description' => 0,
'description' => 'Latest Comments Feed: BSoD',
));
$handler->override_option('row_plugin', 'comment_rss');
$handler->override_option('row_options', array());
$handler->override_option('path', 'commentfeed');
$handler->override_option('menu', array(
'type' => 'none',
'title' => '',
'weight' => 0,
'name' => 'navigation',
));
$handler->override_option('tab_options', array(
'type' => 'none',
'title' => '',
'weight' => 0,
));
$handler->override_option('displays', array());
$handler->override_option('sitename_title', FALSE);

Do note that I am using Drupal 6.9 with Views 2 here and remember to check if anon user has permissions to use this view if you are going to subscribe to the feed in a RSS reader.