If you open Money, the program first tries to contact the Microsoft Servers to get updates. Of course, the servers no longer exist, they were decommissioned in 2011. You can tell that the program is trying to access servers by seeing a spinning arrow in the upper right corner of the Money menu bar next to the help question mark. While that is spinning, any attempt to import an OFX file or other statement will fail. Other posts have shown how to reduce the time that is wasted by doing a port restriction.
If you try to import a statement while Money is closed, you will get a dialog asking to start Money now. If you have finished all of the statements, you can click the dialog to start Money, and it will import the statements BEFORE trying to access the servers, so there will be no problem with another online call being in progress.
So, either wait until the spinning arrow stops, or do the import while Money is closed.
Bob