You should be able to extract them to a location on you local computer, then find that location in the file chooser that pops up when you press the Browse button next to "upload the XML file from your computer" on the Import Product page.
Just in case, there are a couple of things that could be confusing on that page. One is that you are either getting the xml file from your local compter (by pressing the browse button and finding it), or you are getting it from your server by entering the path. Since you are trying to find it on your local computer, you don't have to change what's in the "import the XML file from your server" text field.
Also, from that page you are either importing or creating a new product, and since you are importing, you will want to ignore everything in the "Add New Product" section.
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