When we first launched the MSDN Forums there were some people that didn't know we had RSS feeds for them. Every forum actually has an RSS feed that you can find in the lower right hand corners of the forum views. The VC# IDE forum, for example, has the following RSS Feed. There is also a filtered feed just to unanswered questions.
For now the feeds are very simplistic and really only serve as a "new post" alert because they don't contain replies. If you'd like to give feedback on what the next versions of these RSS feeds will look like please check out my Forums RSS Spec or try out the sample static feed.
Here is a link to download the full OPML of RSS feeds from the MSDN forums. They are categorized and you can choose to import all or just your favorites into your RSS reader. Enjoy!
Update: A few people have asked me if the forums support being notified via e-mail when new questions are posted. Well, we don't just yet. However you can leverage the RSS feeds and a service called RSSFW (http://rails.yanime.org/rssfwd/) that will send the forums RSS feeds to your inbox.