Please follow the below process to import dummy event data to your website.
After Downloading the XML file, go to Tools -> Import. At the bottom of this page, there is a WordPress import option. If you have already enabled this you can see Run Import, if not click on the Install Now link. After that click on Run Importer and select the XML file you downloaded earlier.
Now select the user of your website to assign the new events from the dropdown, tick on the Download Attachment checkbox, and Run the Process. After a few minutes, you will see the success message. All Done! Have Fun.