In your web page's header (the <HEAD> section) add this <LINK> tag:
For RSS feeds:
<link rel="alternate" type="application/rss+xml" title="your feed title here" href="http://www.company.com/feedurl.rss">
For ATOM feeds:
<link rel="alternate" type="application/atom+xml" title="your feed title here" href="http://www.company.com/feedurl.xml">
For an example this is what mine looks like:
<link rel="alternate" type="application/rss+xml" title="Program Witch Pages" href="http://feeds.feedburner.com/ProgramWitchPages">
More information on this can be found here: Windows RSS Publisher's Guide
Example of feed auto discovery for Firefox:

Example of feed auto discovery for IE7:
