So .. you have setup your own blog at your self-hosted WordPress site. You also may have setup your Feedburner url to publish your RSS feed. And finally you want to redirect the feed url which may look like http://www.example.com/feed or http://blog.example.com/feed to http://feeds.feedburner.com/MyFeed. To do that Google (who aquired Feedburner last your) recommend the FeedSmith Plugin:
For the best results using FeedBurner with your self-hosted WordPress site, we recommend the FeedBurner FeedSmith plugin (originally authored by the legendary Steve Smith). The plugin will detect all ways to access your feed (e.g. http://www.yoursite.com/feed/ or http://www.yoursite.com/wp-rss2.php, etc.), and redirect them to your FeedBurner feed so you can track every possible subscriber. It will forward for your main posts feed and optionally, your main comments feed as well.
Just download the Feedburner Feedsmith plugin and follow the steps as detailed in the document. Thats all! Now seat back and enjoy!!
Incase you want to host the feed in your own domain using Feedburner try MyBrand which lets you use your own domain name to host your feed instead of feeds.feedburner.com. Sounds interesting huh? Give it a try. Details available here.
Thanks for your information.