Did it ask for your website URL or the feed URL?
Just follow any tutorial on how to burn RSS feeds on Feedburner, like this one at http://www.northernpride.com/blog/website-design/how-to-burn-your-rss-feed-using-feedburner/.
After burning your own RSS feeds you'll get feedburner URLs which you can then use on your website so visitors will subscribe to them instead of using the original URLs.