I just went through this myself and it was because I failed to first install the module manager. This is mentioned in the brief first sentence of the installation text file.
To fix, I had to remove the Cross Sells files from the /admin/* portion of the website, then install Module Manager, then re-upload the Cross Sells /admin/* files, and install it via the Admin/ Tools/ Module Manager. If done right, it is really pretty easy.. but the install.txt is pretty lacking (at least for some of us thickheaded ones).
Good luck.
Matt
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