Also, you might try installing ProteoWizard and trying to open the file with the error in SeeMS.
Once ProteoWizard is installed, you should be able to right-click on it in the Windows File Explorer and click Open with SeeMS. If that gives you a similar error, then you may want to check that the file did not get corrupted during your download. Check the file sizes and make sure they match on the server and locally.
From your screenshot, it looks like you are using Skyline 19.1, which has a known bug with loading spectra directly from raw data files. So, you probably want to switch to trying with Skyline-daily.
Also, you can always just tell Skyline you want to use the embedded spectra in the msms.txt file. That has its issues (unless you disable deisotoping and charge state deconvolution), but it should allow you to get past this error attempting to get spectra from the raw data files.