LOAD DATA INFILE e' una cosa. LOAD DATA LOCAL INFILE un'altra.

comunque:

As of MySQL 3.23.49 and MySQL 4.0.2 (4.0.13 on Windows), LOCAL works only if your server and your client both have been enabled to allow it. For example, if mysqld was started with --local-infile=0, LOCAL does not work.
http://dev.mysql.com/doc/refman/4.1/en/load-data.html