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With a data load rule, you either have to:
1) Define a single column as a Data column. This assumes that all of the other dimensions are either defined in the row or in the row and in the header.
2) Define multiple columns as data. An example would be similar to #1 but the last three columns are tagged as Sales, COGS, and Inventory -- the data will load directly to those members.
I have never tried to define a data load rule without data in it, somewhere.
So when you open your datafile in the load rule every thing matches up to the correct dimensions, and the data file is not missing any columns, and all rows are complete (i.e. no null values)?
Not sure if it matters, never tested it, but is the column with the data located to the right of the dimension columns?
Is there a header record on the data file?