Prepare beforehand custom post type and taxonomy to accept  the source WP site.

Plugin “Custom Post Type UI” will do.

Many people suggest the following in case of trouble.

1) Download and Install 7zip.
2) Right click on your .XML file -> 7zip -> Add to Archive
3) Change the “Archive format” to gzip and hit “OK”. You’ll now see your file with a .gz extension on it.
4) Try to import/upload the file again (selecting the .gz you just created not the .xml file) and it should work.