Sorry, I misintepreted your question. I haven't played around with what you're doing, but I did have some success with the following steps.
1. Go to Modules | Site Modules | New
2. On the form that appears, enter in your Title, location, and so on. I did not enter anything in the editor area.
3. Click the Parameters tab.
4. On the RSS URL line, enter the location of the RSS feed. I think you were using:
http://nu.nl/deeplink_rss2/index.jsp?r=Sport
5. In the Items line, put in the number of stories you would like to display.
6. Indicate if you want the feed description to show. Since you're not a directory, I doubt you want this option.
7. I kept the fields with their default values. (Cache and suffix.)
8. Save your module and see how it looks.
Now, the part where I got confused is that there is a News Feed component, but I couldn't find how to activate it. It has the ability to add feeds as well. I was thinking there was a corresponding module, but I don't see one. Either that or I deleted it.
Now you know as much as I do on this ;-)
/a