Hi RGM

QUOTE:
Have I missed something or is there another installation method that should be used?

Export content installs just like any other component although legacy mode should be enabled.

Have you tried to install any other components that require legacy mode?
Fireboard Forum for example.

It may be a file ownership issue.
If your not sure what that is please search the Joomla forums.

Or it may be a permission issue try checking permissions on the Export Content directory everything could be set to 777 to see if that is the problem.

You could also try to FTP the files again to make sure that we are not dealing with corrupted files.

One other thought are you logged in as a super admin?

Please let me know how you go.