That error must be when you try to install the XML? You don't need to install the XML for that importer unless you are importing "post thanks". Otherwise you just upload the files and go straight to the import area:
Admin CP -> Tools -> Import External Data
But if you are installing the XML then that error means the files were not uploaded correctly.
had the same issue, found i misplaced the filed i uploaded.. they went to a different directory. definitely an ftp problem. Thanks to google, these forums are a great help.