In FCP's Log & Transfer window, the top left, click the little folder icon, that will bring up a dialog box that you show FCP where your MXF footage is.
Here's what you should have from the HVX:
Create a folder on your media drive (not system drive)
Name it something meaningful.
Copy into that folder, from the HVX, the CONTENTS folder and the LASTCLIP.TXT file. Do not rename them, they must stay perfectly in tact, side by side!
Then as per above, point FCP to the CONTENTS folder. Problem is 2 things; first, you renamed the CONTENTS folder, rename it back, all upper case letters. Second, you don't have the LASTCLIP.TXT file. Sometimes FCP will work without it, but sometimes it won't. Not sure why, but technically you are supposed to have it there, too.