I played around with this a while back, and ended up turning it off due to requirements changing, but...
To answer your question about where it is in the admin interface, go to System->Web Services->Users, and add a user as godatafeed.com requires, this will include user name, first name, last name, email, api key, api key confirmation, and whether this account is active.
You may need to create a specific role for that user as well... System->Web Services->Roles, this will give the user assigned to the role, specific permissions in the subsystems of Magento as desired/needed.
If you need additional, info you can look at the magentocommerce forums, I found this one when I was implementing it previously. The info is old, but is updated and useful as you go through the thread: http://www.magentocommerce.com/boards/viewthread/11773/
The URLs you have appear to be correct, but if the user doesn't exist, it won't let anything happen. Double check your URLs with the info in the forum as well, they have samples to test the API.
From comment below, explanation of API v1 and v2 with php examples of both: http://www.magentocommerce.com/wiki/5_-_modules_and_development/0_-_module_development_in_magento/introduction
While all of the information presented is useful, we were unable to resolve the poster's issue.