http feeds

I want to know how to take an HTTP feed and apply it to my website. An example of this feed is https://feed.example.com/examplefeed.asp?sport=Baseball&league=MLB Can someone help me out? I know the XML feeds would be easier but I really don’t know how to do that so this might be a little better.

Thanks to anyone who can help me by providing me a plug-in that’ll do this either in my sidebar or above my blog