Well, it’s almost as easy as LisaJill says. However, there are a few tricks.
The {exp:rss:feed} tag can only name one weblog. That’s the weblog information that will appear in the “channel” description. This usually consists of the weblog name, the description (if you have one), and the language coding. You can always replace the variables with specific text if you don’t want it to have the information from a particular weblog.
For the dc:date (or pubDate) element of the channel, you probably want the date of the latest entry on any of the included weblogs. To do that, replace the
{gmt_date format="%D, %d %M %Y %H:%i:%s GMT"}
with
{exp:weblog:entries
weblog="weblog1|weblog2|weblog3" limit=1}{gmt_entry_date
format="%D, %d %M %Y %H:%i:%s GMT"}{/exp:weblog:entries}
(being sure to set all of the weblog names in there).
And, as LisaJill said, put all of the weblog names in the {exp:weblog:entries weblog=“weblog1|weblog2|weblog3”} tag that generates the items. You might want to increase the “limit” to allow additional items, since they’re coming from multiple weblogs.