Site Import 1 will not be supported in DW MX2004, you will need to use site import 2.
make sure to uninstall site import 1 from the Dreamweaver extension manager before installing site import 2.
when you download site import 2, make sure to select the option to save the mxp file to your computer.
if you have the option to open it, do not select that option, select the option to save it to your computer, once it has been downloaded, you can then double click the mxp file to begin the installation.