Most likely you are running Windows Vista and have your RM3 files stored in your program folder.

Windows Vista does not allow data files to be stored in the program files folder, but it will let a program "think" their files are there.  Vista really moves those data files to a "virtual store" (which is a hidden folder on your hard drive), and tricks the program into thinking its data files are in the program folder.  But RootsMagic 4 (or any other program for that matter, including Vista itself) cannot see those files.

Here is the solution:

1. Run RootsMagic 3
2. Open your v3 database
3. Do "File > Copy" from the RM3 menu
4. Copy the database to a folder outside the program files folder (like Documents)
5. Run RM4 and import that copy of your v3 data