Installation of Event Calendar Pro is pretty straightforward, you just upload the files by ftp and the visit the /Setup/Default.aspx page.
I recommend play around with it on our demo site to learn how to use it and decide if it will meet your needs before purchasing it.
There is some documentation about using the Feed Manager, you should try it out in with the blog feed and the event calandar pro feed on the demo site. There needs to be at least on post in the blog for the blog feed to work and there needs to be at least one event created for the Event Calendar Pro feed to work. Then you can get the feed url by right clicking the feed icon in the blog or event calendar pro and then paste the feed url into Feed Manager. Feed Manager also has a place for the main site url, you could paste the url for the blog page or the page with event calendar pro on it there and you can put whatever you like for the feed name. There are lots of configuration options also in Feed Manager that you can experiment with.