The Publish Feed dialog allows you to upload feed to your site via FTP. You need to choose an FTP site and specify name of the feed file on your server.
Feeds are uploaded to a directory specified in the FTP site settings. You can also enter custom path in the feed file name, it will be appended to the path from the FTP site settings. E.g. you can enter /mysite/feeds as FTP path and section1/news.xml as file name. In such case your feed will be uploaded to /mysite/feeds/section1/news.xml.