Well I have managed to import the data by downloading the data file and uploading the .zip to a domain (the same as the import). Direct import didn't work for me and import from local file didn't work either.
Now a question arises:
My problem is that I have imported the data from a copy, but the original web is in production, so there are still user and order records, and that is why I do not want to import all the data again, but from a given point.
It is possible to import user and address data from id? (Or some other method as can be done with orders)