Is the Importer supposed to be functional? - #2 by viktor that is the correct importer plugin you mention.
It has already been reported not working (see this thread for more info), your description of the error you encounter seems different since they were importing “empty posts” that showed up in preview mode and you say the error is about lacking a header.
Can you let us know WP version you are trying to import from, PHP version of the WP site and PHP version of the CP site?
Also can you post an image of the error (if you see an error on the page, that is) so that we can try to reproduce to troubleshot?
@viktor could the two errors be the same thing/be related even if they seem to be a different issue?