In simple terms, a feed is a text file that contains real estate listing information in a particular format called XML. For us to read the data in that file, it needs to be updated on a regular basis (daily is preferred) and available to Trulia to read (for example it could reside on your Web server if you have a Web site). There are various ways you can create that file depending on how you store listing information yourself (e.g., in a database, in an Excel spreadsheet, etc) so there isn't a general answer--every situation is different.
The details of the format we use are on the page Emily linked to.
I hope this helps!