Just click "Load" itself, not the drop down beside it. A window (Windows Explorer type) will pop up, navigate to the directory where you unzipped the profiles, and you'll only be able to load the .xml files that are actual profiles. For instance I have my profiles in C:\DemonBuddy\Profiles so I hit "Load" then my C drive on the window, go to DB folder, profiles folder, and double-click the profile I want. Just a matter of jumping through the folders to get to the profile you want.
I do believe after you've loaded some, you can then click the drop down and "Recent" but I never do that as profiles are updated and moved sometimes. Always load fresh from the directory you unzipped it to.