It seems that you are trying to install the plugin, not the sample data.
To Import the Demo Content
– Download the Demo Content zip file
– The demo content is inside a .zip file. (Right click on fitnessclub-sample-data.zip to extract)
– Go to Tools -> Import
– Install and run WordPress importer
– Click on browse, select fitnessclub-sample-data.xml file and click on Upload file and import