If you have the images you wish to import on your computer/localhost, you』ll need to upload these images online first, before WP All Import can import them.
The easiest way to do this is create a folder on your website called 「images」, and then upload all the images to this folder – i.e. http://your-site.com/images/
Then follow the normal procedure for importing images from a URL.
If you have a .zip/.gz/.gzip file containing your XML and CSV file and all associated images, you can』t import this file directly – you need to first unzip it, get the images out, and upload them somewhere so that WP All Import can import them.