ho provato con la fonte da te citata e mi funziona

codice:
<%@ Page Language="VB" AutoEventWireup="false" CodeFile="rss_con_XmlDataSource.aspx.vb" Inherits="CorsoApogeo_rss_rss_con_XmlDataSource" %>

<!DOCTYPE html PUBLIC "-//W3C//DTD XHTML 1.0 Transitional//EN" "http://www.w3.org/TR/xhtml1/DTD/xhtml1-transitional.dtd">
<html xmlns="http://www.w3.org/1999/xhtml">
<head runat="server">
    <title></title>
    <link href="../../App_Themes/classico10/StyleSheet.css" rel="stylesheet" type="text/css" />
</head>
<body>
    <form id="form1" runat="server">
    <div>
        <asp:DataList ID="DataList1" runat="server" DataSourceID="XmlDataSource1" EnableViewState="false">
            <ItemTemplate>
                <a href="<%# XPath("link") %>">
                    <%# XPath("title") %></a><br />
                Descrizione:
                <%# XPath("description").ToString()%>
                <hr />
            </ItemTemplate>
        </asp:DataList>
        <asp:XmlDataSource ID="XmlDataSource1" runat="server" DataFile="http://www.ilsole24ore.com/rss/finanza-e-mercati/tassi-e-valute.xml" XPath="rss/channel/item[position()<20000000]"></asp:XmlDataSource>
    </div>
    </form>
</body>
</html>