There are two basic ways of using DS with Wordpress :
a) adding ad-hoc 'price boxes' to your Wordpress content, typically by using the short code syntax within your posts/pages, e.g.
[ds query='+xbox +elite']
This will display a dynamic price comparison listing within the content of your Wordpress page (see http://datafeedstudio.com/wordpress-plugin.html for more details, and the README.txt file within the plugin folder).
b) exporting categories created within DS to Wordpress categories, with each product becoming an individual post within the target Wordpress category. See http://datafeedstudio.com/export-sites.html for more detail.
For (b) you need to create a DS site of type 'Export' - from there you configure the Wordpress connection details and the mappings of DS category sot WP ones.
For both (a) and (b) you will need to install the WP plugin - this can be found in the extra/wordpress folder.