You should be transferring a single file with a bin extension according to that document..
I am not sure what you are trying to do, because I don't think you are following the directions provided by Cisco.. I have never transfered a bunch of individual files to a system, its a single image file something like c2955-i6q4l2-mz.121-13.EA1.bin
and that's it.. and the software image would be a binary transfer if prompted not ascii.
You did follow the link to the detailed article on the topic right ?
Yes you must use the break sequence to enter rommon mode because that's the only way to get there.. Rommon mode is prior to the switch booting the software installed in flash memory(which your switch apparently doesn't contain anyway.. )
And Hyper Terminal is a big hunk of garbage, imho. Download a decent terminal application like Tera Term Pro.
So much easier to work with and configure than Hyperterminal. http://hp.vector.co.jp/authors/VA002416/teraterm.html
Even as old as it is TeraTerm is way better than Hypertemial.
The switch shouldn't care about the file type it should just accept the transfer so I have no idea what is throwing that SGML error.
You could always call TAC if you need professional assistance.