A lot of the files are not proper album wrap files. There other extractors which I use and the first is Album extractor X and the second if File Juicer.
Off hand, I am not sure if these are mac only tools, but File juicer is very good as it will extract anything that can be extracted and has an equivalent in Windows I'm sure.
You are not doing anything wrong I'm sure. The first few ALBWs I tried to open did not work for me either
Are you on Windows or Mac? I'l check out some more info later if I can
MacOSX10.3.9