Try this. This format works for me.
You don’t have to keep repeating IfModule, RewriteEngine, RewriteBase.
# BEGIN WordPress
<IfModule mod_rewrite.c>
RewriteEngine On
RewriteBase /blog/
RewriteCond %{HTTP_USER_AGENT} !^.*(FeedBurner|FeedValidator) [NC]
RewriteRule ^feed/?.*$ http://feeds.feedburner.com/mysite [L,NC,R=302]
RewriteRule ^index\.php$ - [L]
RewriteCond %{REQUEST_FILENAME} !-f
RewriteCond %{REQUEST_FILENAME} !-d
RewriteRule . /blog/index.php [L]
RewriteRule ^download/([^/]+)$ http://www.mysite.com/blog/wp-content/plugins/download-monitor/download.php?id=$1 [L]
</IfModule>
# END WordPress
Here is a nice how-to for htaccess:
http://codeigniter.com/wiki/mod_rewrite/
And if you continue to have trouble, perhaps consider using a plugin:
http://wordpress.org/extend/plugins/tentbloggers-feedburner-rss-redirect-plugin/screenshots/