Import of multiple XML files

Hello,
I have a problem with an each day task:
1. Download from a set ftp a file (self extracting .exe) with set name to a set folder on my hard drive.
2. Extract the file to get a varying number (I estimate 10 - 1000 separate files) of .xml files. All the files have the same schema/mapping.
3. Check the same "tag" in each file against a set table of values (under 100 different values) -> find the files with desired values.
4. Present them in a usable format.

I was advised that all the points can be automated in Excel.
Doing 1 and 2 manually I can live with so I started with point 3.
As I have no experience with VBA and only a superficial grasp of Excel and programming I got stuck.

A. First of all I tried to use (Developer -> XML -> Import) to import all the files at once (Idea from built in help)
It does not work. I get "XML file importing error" window which lists all the files with either:
"Not able to find XML map corresponding to this data"
or "No data was imported or only a part of data was imported" <- no data in a workbook

I tried to pre-map (dragged the map from the source) the workbook. It works fine for one file only or for the first file of many.

I left it at that.

B. I used (Data -> External Data -> Other sources -> from xml data) to get the files into a workbook.
I recorded a macro to find out that I need to use

ActiveWorkbook.XmlImport URL:= _
        "C:\FolderWithFilesToBeImported\*.xml" _
        , ImportMap:=Nothing, Overwrite:=True, Destination:=Range("$A$1")

I just have to feed the names of the files to the function in a loop.(?)

C. I wrote some code to check what names the files from directory have and to put them in an Array

Sub Import()
    Dim FileNames() As String
    Dim i As Integer
    
    Do
        ReDim Preserve FileNames(i)
        FileNames(i) = Dir("C:\FolderWithFilesToBeImported\*.xml")
        i = i + 1
    Loop Until FileNames(i - 1) = ""
End Sub

It fills the array with the name of the first file in the folder an infinite number of times.
As the help for "Dir" suggests I tried running Dir("") to get to the next file but with no success.

Please excuse the length of the post but I do not know if any of the above is a good idea.
Moreover my Excel is in Polish so I can only hope that I translated correctly.

I would greatly appreciate any hints, advises or solutions.

I have posted the same on another forum, but it is there for over a week with no replies, so I think I am in clear to post here.

Edit:
Sample XML files. I was not able to attach them as .xml so I cheated a bit.
266355_2011.xml.xls
266357_2011.xml.xls
266359_2011.xml.xls