It's not working yet. Check if this file exists on your server:
/forum/vbseo_sitemap/data/sitemap_index.xml.gz

I see it in my server (I use filezilla), but the sitemap_index.xml.gz is a winzip file. Should this be extracted?

Can you make this so it works with "Check Version"?

No, that's fine. Your server keeps giving a 404 though. I am checking this URL:
http://www.sportsgatherings.com/foru...p_index.xml.gz

You can start with temporarily removing or renaming the .htaccess in forum/vbseo_sitemap/data/ to exclude the possibility that this .htaccess file is causing this problem.

I removed the .htaccess file from forum/vbseo_sitemap/data/. However, I noticed that when I open the htaccess folder, this folder contains the .htaccess file along with htaccess.txt, isapi_rewrite.txt, lighttpd_rewrite.txt, and zeus_rewrite.txt. I see those 5 files in the folder, but I don't think I uploaded those 4 txt files into my forum/vbseo_sitemap/data folder. Should I try reuploading all 5 files or are those 4 txt files irrelevant? Previously the 4 .txt files were not uploaded, only the .htaccess file was before I deleted it.

Worry about that htaccess after it's working.

http://www.sportsgatherings.com/foru...p_index.xml.gz
This is working now because you removed the htaccess.

Now the next step is to get the forward from http://www.sportsgatherings.com/foru...p_index.xml.gz to http://www.sportsgatherings.com/foru...p_index.xml.gz working with the .htaccess.

1) Upload the .htaccess from the zip, in the htaccess folder to http://www.sportsgatherings.com/forum/ or if you already have a htaccess there, edit it and add the 2 lines.
2) Check if http://www.sportsgatherings.com/foru...p_index.xml.gz works now.
3) If it does, upload the .htaccess from the zip: upload/vbseo_sitemap/data/.htaccess to http://www.sportsgatherings.com/foru..._sitemap/data/
4) Check if http://www.sportsgatherings.com/foru...p_index.xml.gz still works. http://www.sportsgatherings.com/foru...p_index.xml.gz should now give an error. If so, then you're done.

I noticed that there are 2 .htaccessfiles when I extracted the zip file from here.
The 1st is located in the htaccess folder that contains .htaccess (123 bytes) and 4 txt files.
The 2nd is located in the uploads/data folder that contains .htacess (13 bytes) and index.php.

When I look at my /forum root, I already have a .htaccess file in there (121 bytes). When I upload the .htaccess (123 bytes) from the htaccess folder to the root, do I rename it and just upload it? If so, that is what I did. I also uploaded the.htaccess file (13 bytes) from the uploads/data folder to my forum/vbseo_sitemap/data. I think I'm still getting errors.

I am getting this error:

This page contains the following errors:

error on line 1 at column 1: Document is empty
Below is a rendering of the page up to the first error.

Shouldn't need to rename it. It's already called ".htaccess". Unless you are using htaccess.txt and renaming that to .htaccess. Which is the same thing.

Better to delete that until you get the first 2 steps working. That htaccess is making it more difficult to troubleshoot. If I were you I'd turn off the custom error pages on your server for now until you get this thing working. It's hard to see what's going wrong when I'm not seeing the precise error.