I’ve fixed a bug that some kind folks reported. There’s a new versions (0.2) in the /public directory.
The bug didn’t put the output files in the proper directory. Where they went depends on your platform. A search for ‘wxr’ would find them (search hidden folders on Windows). It’s fixed now and for good measure it’ll show you where it does write them.
[UPDATE Nov, 19, 2009]
SplitWXR may not work anymore with out some hand holding. SplitWXR depends on Shoes which will download the Ruby interpreter. The Shoes site has gone “walk about” and might not be available so the whole chain of things fails. There is a solution. Download Shoes from an alternate site and install it. Then double click on the SplitWXR icon and it will find the Shoes (and Ruby) on your system and has been reported to work.