Your file have to be a file.txt file.
1 Url on every line.
Example named "siam.txt":

http://siam.to/gallery
http://thcity.com/guidingstar
http://www.siamcool.com
http://www.xaap.com/mainth.asp
http://i.am/nosecandy
http://i.am/photon
http://i.am/startservice

Then just point as you did URL Import Data to this file on your computer.
Of Course import in Que and not In Track or database.
Url pro will start importing and you will see a "import status moving from 0% to 100% untill your file is imported in the Que.
In answer of a check,
On the bottem of your Spider screen you see the word "Que 7"
Because in the above example we imported 7 URL's in the Que

Importing 3000 Url's takes about 15 sec.
Now your Spider is charged to visit and scan all the URL's in your Que file.
Remember first to empty Track and database before starting.
Good luck
Regards,
Sanuk