There are several different types of RSS feeds, so maybe some sites and some feeds are handled better than others.
If you are stuck using IE6 you’re going to need a feed reader. IE7 has one built in, and IE8 is due around the end of the year as well.
Once you try Firefox or IE7 (or any browser with tabs) I don’t see how you’d want to go back.
Here is more info about RSS readers: