There are numerous methods that you could employ to get the job done -- any tutorial will give you just one way to do it, which might or might not be the best approach for you.

The task essentially boils down to a number of sub-tasks:

1. Grab the RSS document (from a remote location?)
2. Parse the XML into a PHP data structure (Arrays, Objects [SimpleXML, DOM, Custom?], etc.)
3. Add to MySQL database (MySQL extenstion, MySQLi, PDO, etc.)