Greetings,
Either your ./attach folder does not have the correct permissions or your web host has restrictions against using the (default) /tmp directory for PHP file uploads.
1) Make sure the ListMail ./attach folder has the correct (CHMOD) permissions (777).
2) Copy & paste the error to your host to see if they will allow you the proper access.
3) Upload your file-to-import to the ListMail folder via FTP and use the 2nd method of importing, typing in your filename manually.
Hope that helps!
Regards,