Steps 3 and 4 say to "Click on Color from the top menu" and "Select Import from image..." - but on the latest version of Aseprite (v1.3.9.2 as of now) there's no "Color" panel on the top menu, instead this menu is three horizontal bars just above the palette. And instead of selecting "Import from image...", you simply select "Load Palette" there and open the file you downloaded.