Did you add the .prj file I attached to that folder; if so that should have stopped that message.
I am trying to simulate by:
Selecting Oregon
Clicking "All at Once" in topo process. and i get gnis.shp, gnis.prj, gnis.dbf and gnis.shx
So I can't figure out whats up since I think the oge2oge (or similar name) program makes it.