3
Weeble:
The URL box is just the link to the actual website, eg:
https://xoops.org
The URL of the RDF/RSS files is the important one, that's the link to the actual newsfeed. An example (the feed from this site) would be:
https://xoops.org/backend.php
If you enter those and it still doesn't work, something else is wrong.
Irocc: I had the Headlines module mysteriously stop working once as well. I found that if I updated the module in modules administration, it started working again. I have no idea why but maybe worth a shot.