In general, this happens when your RSS/OPML Source website is running slowly, and PocketRSS just times out after not being able to download data. Just try again at a later time.

Another possibility is that your internet connection is not available. Try to 'surf-the-web' with Pocket Internet Explorer to see if your PocketPC has an internet connection (note: do not use AvantGo sites, since that data might only be cached on your PPC).