I played with this a while ago and ended up disconnecting it due to changing requirements, but ...
To answer the question about where it is located in the admin interface, go to System-> Web Services-> Users and add the user as a requirement to godatafeed.com, this will include the username, first name, last name, email address, key api, api key confirmation and whether this account is active.
You may also need to create a specific role for this user ... System-> Web Services-> Roles , this will allow the user to assign a role, specific permissions in subsystems from Magento as desired / necessary.
If you need more information, you can look at the magentocommerce forums, I found it when I implemented it earlier. The information is old, but updated and useful when going through the stream: http://www.magentocommerce.com/boards/viewthread/11773/
URLs that you entered correctly, but if the user does not exist, it will not give anything. Double check your forum URLs with information they have samples for testing the API.
From the comment below, an 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
Although all the information provided is helpful, we were not able to solve the problem with the poster.
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