There is "LogonStudio" which runs on XP, Vista, Win7, There is "LogonStudioXP" which only runs on XP. The ".logonxp" files are only for LogonStudioXP. I'm guessing you're not running XP..
As the error message stated, you can rename the "xxxxxx.logonxp" file to "xxxxx.zip" and then open it with a zip utility such as WinZip or whatever, then pull the main background image out of it and use that as your LogonStudio wallpaper. There are many images within the file, I believe the main image is named "100.bmp"
If you can just find the wallpaper for the logon background you're wanting, it is better to just load the wallpaper into LogonStudio. It should look a little better.
This is where you can find the themes for LogonStudio (non-XP):