- Did you download the correct version of the Lahman DB? It needs to be the CSV version and they will come in a large ZIP file.
- Did you type the correct path to the folder you unzipped these CSV files to?
I would suggest reading the <a href="http://www.ootpbb.com/board/ubb/ultimatebb.php?ubb=get_topic&f=5&t=000007" target="_blank">historical league FAQ</a> again and trying to spot which step might have been missed or changed.
Good luck and let us know if that helped.