The importer will attempt to work around your server's max_execution_time setting for PHP (usually 30 seconds), but some servers don't allow this. You can try to increase it by adding a line to your .htaccess file:
php_value max_execution_time 160
If that gets you further but still doesn't finish, just increase the number (it's in seconds). However, note that your host might get irritated with you for hogging the server's resources. If you have a lot of files to import, it's best to install WordPress on your desktop (XAMPP for Windows and MAMP for Macs make it pretty easy) and do the heavy lifting there.
It's also quite possible that the script is trying to use more memory than your server allows. You can try to change that setting, too, in .htaccess:
php_value memory_limit 1024M