I just tried the same with the 'lshape.xml.gz' which you can download on the FEniCS-website and everything worked fine with DOLFIN 1.3 and Python 2.7. Check that the file is actually there, that you have read privileges and that it is not corrupt in any way.
Using "../lshape.xml.gz" for the path it has to be one directory up from the directory where you run your script from. In any case, try to give the full path as an argument. If that works, then everything is fine with your distribution of FEniCS 1.3 and you just have to read about absolute vs. relative paths. If not, then there may be another problem, but I consider this highly unlikely, given the number of users without problems. If you cannot get this to run, then it might help to have more specific information about your environment, i.e., your OS; whether you are using a packaged version or a self-installed version of DOLFIN; the path from which you run your script (which may be another one than where FEniCS is installed) vs. the path where your mesh is located, etc.
edit: slightly extended answer