PROBLEM IMPORTING A DAE FILE IN BLENDER

Yeah, you can't just extract rigged mesh from SL like you would static mesh, the result will give you what you see now. Mostly because the creators break it up like this as a sort of protection .
HOwEVER if you use Meshes SL, with Darkstorm you can get pretty much any body you want.
(Of course there are some cases where even using that will give you some crazy results)