I think you can use the windows 3d object converter and convert it into an .hrc file (or save it as an .obj file) which you can open in xsi mod tool (it is free) and then follow the documentation that follows with Forge Tools 3.

Basicly, it means that it is not compatible with that filetype. Can you save your work in the program that you used in an other filetype? If not try and search for a skp converter. either change it to something you can use in XSI mod tool or 3ds max (if you have that program).