CaRP: Caching RSS Parser - Documentation
CaRP Interactive FAQ
I recommend trying file-based caching first since it places less processing load on the server. If you can't get that to work, then try mySQL.
Originally, CaRP only supported file-based caching. mySQL caching support was added primarily because on some servers, file-based caching is difficult to configure (but on other servers, it's very easy--easier than mySQL).