There are no requirements where you keep your feed, but we do have some recommendations. First, if your web site will be managed with WordPress, we recommend that you use our Blubrry PowerPress WordPress podcasting plugin, as it integrates seamlessly with our services (hosting and statistics). If you decide you want to use the Blubrry provided custom home page for your podcast, you can use FeedBurner with our service.
There is nothing stopping you from creating your own feeds, these are only recommendations.