If you’re trying to import WXR (WordPress eXtended RSS) formatted content into WordPress and the importer happily imports only the last item, you’ve probably got </item> and <item> on the same line, like this:
</item><item>
The importer cannot handle that. Change it to
</item>
<item>
and things start rolling.
So far the best instructions to the WXR format can be found in this sample.