you cannot start it by using windows explorer, you need to activate it by using command lines. You have to open ms-dos, then enter the location of the program.
(if you put it at the same place of your mod, you would enter: cd C:\Documents and Settings\Local Settings\Application Data\Ironclad Games\sins of a Solar Empire)
The "cd" part tells ms-dos to change directory. When you've reached the intended directory simply follow the directions givin in the readme. (you can go step by step by entering "cd C:\Documents and settings" then "cd \Local Settings" without the quotes etc.)


I think you would enter:
ConvertXSI [name of xsi file] [name of final mesh file]
May I suggest using the Soase 3ds max converter if you use 3ds max, it works really well, except the final mesh files are in binary.