The hprof file you get from Android has android specific format. You should convert hprof file take from Android OS into standard hprof format. For this you can use hprof-conv tool that is located at AndroidSDK/tools/hprof-conv.
For example:
hprof-conv android.hprof mat.hprof
And then open mat.hprof in Memory Analyzer.
EDIT: hprof-conv might be located under AndroidSDK/platform-tools/ in some bundles.