I've been wanting to disable the "automatic" rss feed for a while.
Yesterday I found an elegant solution, which simply adds a checkbox (under rss settings) which enables/disables the feed. This way, you don't have to edit your drupal theme or overwrite anything in your theme's template.php. It not only removes the link - it also removes the feed icon in the address bar.
I've attached a patch to this blog, which is applied by standing in the root of your drupal 5 installation (it's a patch against 5.10 but should apply to older versions as well) and write (on a unix/linux system): patch -p1 <d5-disable-rss-feed.patch