Okay, Well i'm guessing you went to ( www.setupgrid.com ) To download your setups, so i'm just going to end that there, If you are sure you downloaded a demo car setup ( FBM XFG XRG or XRT If you are X) Then you should have no problem, Make sure the setups are in C:\WhereeveryouputLFS\LFS\Data\Setups.
I've attached you a picture to show you where mine is.. you need to find that folder and just drop the .set into it, load it up and you are good to go