You need to extract the .rar file you have downloaded (I use 'Free RAR Extract frog' or 'IzArc'). The extraction process should automatically creat a folder 'I5800XXJPF' or 'I5800XXJPB' or similar, etc) Within that folder you will will find the .tar file (it won't be called Froyo, it will be called I5800XXJPF.tar etc).
At stage 3 in the instructions put in the correct path to the .tar file.
Then complete the rest of the procedure.
Hope that helps.