I can see how the faq is not entirely clear -- do you know any basic HTML? That will help you here.
Type the code or copy and paste this:
<img src="image-location"/>
in the BODY of the text widget. (The code supplied in the FAQ has an extra space lodged after the image src, so don't copy that.)
Remove "your-blog-name" and type in your blog's name (i.e. "jerryinjozi")
Scroll down and look at the images for the RSS feed. Maybe you like big and blue. Maybe you like little and pink. Whichever image/icon you like, copy the "http://..." code next to it.
Replace "image-location" with the code you copied. Keep the quotation marks around it.
Now, if you want to say "Subscribe" or some such language to the right of the icon, write that word after the last bracket in the code.
Hope this helps.