It should only show up as a wie file. I just used that same file (same link) last night and uploaded to a local demo site with no issues. For me it shows up as a wie file (not a text file). When you download it you don’t need to open it up or anything, just immediately upload it to your site.
Also, make sure you’re using the Widget Importer plugin that was mentioned in the tutorial. Are you using the Widget Importer plugin or did you use the WordPress Content Importer? Because it only works with the Widget Importer plugin.
If you want to create a temporary login I can set this up for you asap.