Turns out that the XML webpart was trying to use a cache object to get
the stuff from the internet. I found this out by examining the ISA
logs. Finding that I did a search of the SPS help file for
"proxy"-don't ask me to explain because of logic of that choice escapes
me now. But I did find, among the hits, a page  entitled Management of
WebParts, in which it relates that the caching mode can be controlled by
including a parameter in the .config file of the Virtual Server for the
Portal. The choices are None, Cache Object, and Database. Since I am
using ISA2000 to provide caching, I set it to none.

I also saw a paragraph saying that, if a webpart required access to the
internet and was behind a firewall, then you had to edit, into the
config file of the Virtual Server a section that serves the portal, the
proxy parameters of proxy_server and port.

I included both of these sections into the .config file, and now the XML
webpart pulls the rss feed, and Sig's xslt puts it nicely on the page.
Absolutely marvelous.