We've run into this a couple of times. While you can remove the comma from the current file, if you are running this import regularly, and the import file is large, this might not be a practical solution.

In some situations, you cannot modify the number format directly in the program that is creating the file. If that's the case here, you can solve your problem by modifying Windows' number formatting.

From the Control Panel, select "Regional and Language options" (assuming Windows XP here). Then click on the "Customize" button.

Replace the comma in the "Digit Grouping symbol" box with a space.

You should now be able to regenerate the import file with the commas removed.

Note that this change will affect the number display in many different applications.