Each product can have multiple Price Categories assigned to it. For example, you could have a Retail price category and a Dealer price category, so the product would have a regular and sale price at the retail level, and another regular and sale price at the dealer level. Because there is an option to have multiple price categories, in the import you must indicate what price category you are updating.
The headers you need to use are RetailPrice*, RetailPriceCat* and SpeicalPrice*. If you have multiple price categories that you are updating with a single import, you use the asterisk ( * ) as the link between the three headers.
Ex: RetailPrice1, RetailPriceCat1, SpeicalPrice1, RetailPrice2, RetailPriceCat2, SpeicalPrice2
In the RetailPriceCat* columns, you need to put the ID of the price category you are updating. You can go to Inventory > Price Categories in your store admin to determine the ID number of the price categories.