Skyline ships with its own copy of msconvert.exe, in the same folder as Skyline.exe.
Your error seems to indicate that msconvert.exe was found and executed, but ran into some problem doing what it was supposed to do.
If you send us your Skyline document and raw files, we can try to reproduce the problem and figure out what is going wrong.
In Skyline you can use the menu item:
File > Share
to create a .zip file containing your Skyline document and supporting files like libraries or extracted chromatograms. The raw files are not included in the .zip file, so you should be sure to also send us your raw files. I am not sure, but maybe we will also need your FASTA file, if you specified one in the Import Peptide Search wizard before you hit this error.
If that .zip file and you raw files are less than 50MB you can attach them to this support request.
Otherwise, you can upload them here:
It would also be helpful if you could send us a screenshot of what you have chosen in the "Import Peptide Search" pages as that will make it easier for us to duplicate the steps that you did.