I realise this was posted a while back, if you're still stuck the problem is you can't use ajax to directly load it due to security.
I had a similar issue.
Quickest solution is to load the rss with a php file and echo the result as xml. Then just load that php file from jquery.
See this link for explanation and example http://kneedeepincode.com/topics/parsing-external-rss-feeds-with-jquery/