Putting an RSS feed ONTO a SquareSpace page
You cannot place HTML onto a SquareSpace page in the general edit screens. However it is easy to do using their Codeblocks. The help section at SquareSpace has all the information you need.
Once you find the relevant place to put your code, you can simply copy/paste the FeedWind HTML snippet and your widget should display.
Getting RSS feeds FROM a SquareSpace site
SquareSpace has a full page of instructions intended to help you get an RSS feed from one of their sites.
Once you have the SquareSpace feed URL you need, you can use that feed URL in the FeedWind Setup Screen.