bronius,
Make sure you're installing the proper version for your version of Joomla and that you've properly unzipped the file you download from SourceCoast. When you install, the file should be something like com_jfbconnect_v4.1.2_j1.5. That j1.5 is important if you're installing on Joomla 1.5. If you're on Joomla 2.5, it needs to be j2.5.
If that doesn't help, please let us know exactly what version of Joomla you're using and we can help from there.
Thanks,
Alex