Did you unzip the database file and make sure you had this version of it?
http://baseball1.info/statistics/lahman53_csv.zip
It is version 5.3 comma-delimited version you need.
If the above is all set up correctly did you point the game to master.csv file within the Lahman 5.3 database?
Finally if all of those are correct did you select a year between 1901-2005? It will not correctly import years prior to 1901.