Yeah you should pick the FBX file itself, not the .pkmm or .pkan.
This tutorial is pretty old now (v1.4), I'll re-capture some newer screenshots and update the page.
If this is urgent and it still doesn't work as expected, please send your FBX file containing the path at support at popcornfx dot com, I'll watch out for your email and look into it right away.
the old outdated tutorial was confusing. It showed the .pkan file produced by the baking in the editor inside an 'Animations' folder: there is no need to manually copy it there.
When importing the mesh, the editor will build a .pkan file for the animation track, and save it inside a cache folder (usually in "Cache/Meshes", or "Editor/Cache/Meshes", depending on your project configuration). This should stay there. when picking the FBX file in the animtrack sampler, the editor will try to remap that path to its cache folder to find the .pkan, so moving the .pkan to an "Animations" directory will break this, the editor won't be able to find it, and the animtrack won't work.
The tutorial page has been updated to match the latest version of the editor: http://wiki.popcornfx.com/index.php/Particle_tips_ImportAnimations