Are you selecting the file via the browse button or trying to enter the path of the file that is now on your server? It's easiest to do the former.
In AdminCP, go to : Styles & Templats - Download/Upload Styles - Import Style XML File - browse to the proper file - click Import at the bottom of the page.
I'm guessing that you are trying to enter the path of the XML file that you recently uploaded to the server. If so, the proper path and file name must be in that field. I find it's always much easier to just upload/import the file from your own computer via the Browse button.
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