I had some issues with importing data into Ninjatrader the other day. The problem was very simple; filename containing non supported characters (-1 in my case) and I thought I do a howto for others that might have run into the same dilemma.
Goto Tools => Import => Historical Data
Click Generate Day bars from imported tick or minute data and click Import button
Browse to the location where you have downloaded and extracted the dataset, select the data file and click open.
After successful import, you should see a notification about number of records imported.
Now you should be able to locate your imported data according to the name of your data file (DAXMINUTEDATA in my example).