Assuming that this is the basic example exportThemePolicyNode.xml that
you are following (I just followed your link):

create-oids="true" type="export"

type="theme" path="">

And you are running the following command:

xmlaccess -user user_ID -password password -url myhost:10040/wps/
config -in exportThemePolicyNode.xml -out result_file.xml

Please keep in mind that the new output file, the result_file.xml is
the file that you should import now.

The example in Infocenter is a little bit confusing and it seems like
that the file specified in the exportThemePolicyNode.xml, more
specific file:///c:/temp/exportThemePolicies.xml is the
one you have to import. But that will not work and will result in the
error that you are getting.

You can manually modify the file:///c:/temp/
, but you will always use the original
xmlaccess output result_file.xml to import the theme policy.

I hope that helps.