Hi,
If you are saying about CRM Online then each file should be lesser than or equal to 8 MB
If all the files are zipped then make sure that each file in the zip is lesser than or equal to 8 MB .
The zip folder should be of less than or equal to 32 MB and does not exceed the limitation of uploading zipped file (32 MB) in Microsoft CRM 2011 Online.
The following guide mentions a step by step procedure for importing data into Microsoft CRM 2011 Online:-
rc.crm.dynamics.com/.../importdiagram.aspx
rc.crm.dynamics.com/.../gs_import.aspx
If it is CRM On Premise then the link below specified by Muhammad should resolve your issue.
Thank You.