The use of the 'LOCAL' attribute only works if the file is in a particular place (I can't remember where). If it's in the wrong spot, you get a bad-command error. I recommend never using the 'LOCAL' specification. Use this:
mysql> load data infile "myfile.txt" into my_table;
The file should be in the database folder, i.e. c:\MYSQL\DATA\my_database (if you're using Win). If you're using Linux, I have no idea what to do.
Just dump the file in the database folder along with all the other files and MySQL will pick it up automatically from the 'INFILE' specification, assuming you have already specified 'use my_database'.
Btw at the end of each line in a txt file (before the line return) it's a good idea to stick a tab in. This is stated in the MySQL manual and I've always done it.
Norman