What does "empty host" mean?

I have just subscribed to a CDN (Incapsula free version) and I have also just installed W3 Total Cache. The settings are daunting but I am trying to work through them.

At the top of the page it tells me to export the media library and upload the wp-includes, theme files and custom files and gives me really nice buttons to click on to do this. However, whenever I try to do any of them the process stops and tells me one or more files has (or is?) an “Empty Host.”

What does this mean, and how do I correct it? Is it necessary to do these things for the plugin to work?

Thanks,
Kat

http://ww.wp.xz.cn/extend/plugins/w3-total-cache/