The RSS icon is in the Command bar which is off by default.
Alt - View - Toolbars - Command Bar
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Here's one way to add a RSS feed in IE9:
1. Navigate to the site with RSS support.
2. Hit Alt+T to bring up IE9's Tools menu drop down.
3. About 2/3 down the Tools menu there's a "Feed Discovery" selection. Within that you'll see supported feed and web slice options for the page. Select the Feed one.
4. The Feed will then appear in the browser window, however you're not yet subscribed. To subscribe, at the top of the page, click the "Subscribe to this feed" link.
That's pretty much it. You can also organize the Feed in a folder in the last step.