When updating an XML list I’ve been having better luck using XmlMaps().Import:

Sub RefreshXML()

Dim Feed As String

Feed = "http://blogdex.net/xml/index.asp"

'True for Overwrite, False for Append
ActiveWorkbook.XmlMaps("MyMap").Import Feed, True

End Sub

Rather than this.

As a side note. If you don’t have a practical reason to use Excel’s XML features, RSS feeds are XML based and fun to play with (the inspiration). Lately I’ve been experimenting with creating custom VBA filters for some of my feeds with too much noise.