Close osu! , open your osu! folder and move out the osu!.db file. It will create a new file as soon as you start osu! again. After that you might need to press F5 again, but if the issue was in this file, it could get fixed like this
If you extract the osz file into your osu!\Songs folder manually (just treat it like a zip file) and then hit F5 on the song selection screen, does it import correctly?
Try running your game as an administrator and hitting the "repair folder permissions" button in the options menu.
If that doesn't seem to work, hold shift while starting the game until a recovery window pops up and hit the "repair osu!" button.
