Have you done this successfully before? You need to use the correct .app file from your system menu and convert the mym to csm. It's quite easy to make a mistake.
Also, some mym files have been constructed to only work on certain system menu versions. For example, many older themes worked on 3.2, but required some underlying updates to work on 4.0 or higher. So if you are trying to convert an old mym to a 4.x firmware it may just be that the mym doesn't support it in its current state