I'm going out of order for a moment. The reason for this is that Views provides a live preview area that shows what the view output will be based on what settings have been entered. This preview is at the bottom of the page, but if you scroll down, you will just see an error telling you that the feed should have a path, but none has been supplied. As long as an error is present, no preview will be generated, so let's get rid of the error.
We'll make our path /pets/feed. Click Path and enter that into the text box in the popup, click Apply, and click Save at the bottom of the page.
Scrolling down to the Preview area, you will now see a preview of the feed. It might look a bit strange, but an RSS reader will know what to do with it. But all of our content is there...not just articles about pets. Let's address that next.