I have followed Microsoft walkthrough http://msdn.microsoft.com/en-us/library/ms181247%28VS.90%29.aspx, but there are 2 got me.
First, Open xml file in Notepad. You need to include a collection attribute on the TeamFoundationServer element:
<TeamFoundationServer name="myserver" port="8080" protocol="http" collection="tfs/DefaultCollection"></TeamFoundationServer>
Second, you had better to run the convert on a vs 2010 installed machine