OK, one more thing to check: your phone is GSM? You don't want to apply LeeDroid to a CDMA phone.
Can you still boot into your original ROM? If so, go back into recovery and make a backup from there before doing anything else - a recovery backup is what's known as a nandroid. It's essential before flashing because if anything goes wrong you can use it to get your phone back. There is a possibility that the phone will enter a boot loop after the first backup (sometimes happens when rooted using unrevoked), in which case you can fix by restoring from the same backup you just took. All in the
FAQ - read that if you have not already done so.
Another thing: which LeeDroid? If it's the app2sd version, have you prepared your SD card first? If not, it won't work.
So, back to the main business: maybe it's not finding your .zip file? If the LeeDroid file has not been renamed to update.zip you'll need to select the option to choose the .zip to install instead, then select the file (which is how I always do it) - if we're lucky it'll be something that simple.