The First Record and Last Record fields on the Import Setup screen are used to define the range of records to be imported from the Import File.
To import all of the records in the Import File, set First Record to 1 and set Last Record to 0.
If the the first record in the Import File is a header record (commonly referred to as the field names record), set First Record to 2 to prevent the first record from being imported.
See:
Data Importer Contents