Please make sure that you're installing the right JFBConnect version for your Joomla version. In the zip file that you're installing, it will have a _j1.5 or _j2.5 in the name and that should match your Joomla version.
Beyond that, also make sure that you have unzipped the main file that you downloaded from SourceCoast. If the filename ends with _unzip_first, you'll need to unzip it first.
Hope that helps, but if you still have issues, let us know, and we can try to come up with other possible causes.
Thanks,
Alex