It can happen if the xml folder (/wp-content/plugins/slider-pro/xml) is not writable. In order to make it writable, you might have to set its permission to 777. I recommend checking with your web host what the best permission setting for making the folder writable would be.
If you still get an error after this edit, please contact your hosting provider and ask them if the XML-DOM library is installed. This library is used by the plugin to save each slider in an XML format, which allows you to export and import sliders. You can disable this feature, if you want, from within the Slider PRO -> Plugin Options page.