When you copy a file offered by a website you usually can right click it and chose "save as ..". The correct extension (xmcd) should be offered by default. If not you can easily change it yourself.
A *.xmcd file is for Mathcad 14 or 15 and you should be able to open it in your Mathcad 15 and work with it. You should have a complete MC15 installed as otherwise you won't be able to convert sheets to Prime format anyway.
Given that Prime, especially version 2 but it applies to v3 as well is missing a lot of features compared to Prime it may be a good idea to stay with MC15 anyway.
If for some reason you need to work with the mediocre Prime2, you have to use the converter which comes with Prime. It will create a file with the extension .mcdx (note the "clever" rearrangement of the letters) which you should be able to open with Prime. The converter also creates a file with the extension .xml which can be deleted. If the converted sheet works and does what its supposed to do, depends on its content. Usually, because of Primes lot of limitations, only very basic worksheets will convert and work painlessly. Most will require some manual adjustments and quite a lot will not be able to be used in Prime at all because Prime is missing the necessary functionality.
So it looks you simply tried to open the wrong file in Prime. The .xmcd is the wrong one, you must open the .mcdx file.
In the caption you wrote about an .xmt extension. We don't have that extension in Mathcad. *.xmct are templates for MC14 and 15, *.mctx are templates for Prime3 (Prime2 does not support templates).
