Can't import a file

The import function just doesn't work.
Although I have zlib installed (shows [OK] at the start) I get an error message like this:
** ERROR: The dataset '../samples/zz.lhe.gz' has not been found or has a unsupported format.
Moreover, even if I extract the LHE file I still get the similar error message.
Same happens with custom LHE and HEP files which I've generated myself.

I'd appreciate any ideas why this can happen.

Kind regards,

Mykola