Guys,
I finally had enough of this problem and went thru the OFX,
transaction by transaction, to find out WTF is wrong with Money 2005.
As usual, it's something stupid: if your OFX statement has an & in it,
Money 2005 can't import the OFX file. I guess they're using an XML
parser which doesn't like that very much.
To "fix" this, change your file association for OFX to notepad,
replace any &'s with something else, and save the fixed OFX to the
desktop, then import it manually with Money.
I'll call MS about this to let them know, but thought I'd check back
and let you guys know what the deal is.