It sounds like you have successfully created a spectral library (.blib file), but, because you said it was DDA instead of DIA, Skyline did not add MS2 transitions to the document.
If you don't want to start over, you could get those MS2 transitions added to the document by doing the following:
1. Go to "Settings > Transition Settings > Filter" and change "Ion Types" to something that includes the ion types that you care about (I recommend setting it to "p, y, b" so that you get the precursor isotopes as well as the y and b ions.
2. Go to "Settings > Transition Settings > Full Scan" and change the "Acquisition Method" to "DIA" and change the isolation scheme to something appropriate. The easiest isolation scheme to choose is "Results Only" which means that Skyline will use whatever isolation windows are in the mass spec data file.
3. After you make these two changes, the Targets tree should now contain MS2 transitions, but these MS2 transitions will not have any extracted chromatograms. You should tell Skyline to extract chromatograms again by using the "Reimport" button at "Edit > Manage Results". Alternatively, if you do not have any replicates in your document you can tell Skyline to extract chromatograms using the "File > Import > Results" menu item.
It sounds like you had trouble at some point in the Import Peptide Search wizard.
The Import Peptide Search wizard is roughly equivalent to the following steps:
1. Go to "Settings > Peptide Settings > Library" and use the "Build" button to build a spectral library.
2. Use "File > Import > FASTA" to add peptides to your document
3. Use "File > Import > Results" to tell Skyline to extract chromatograms.
Sometimes if things go wrong in the Import Peptide Search wizard you might want to cancel out of the wizard and complete the rest of the steps using the Skyline menu items.
If you are having trouble you can always let us know what sort of error message you are seeing. You can also zip up all of your files and upload them here and we can take a look:
https://skyline.ms/files.url
If you want to send us your Skyline document you can use the "File > Share" menu item to create a .zip file containing your Skyline document and supporting files including spectral library and extracted chromatograms.
Also, if you have not already looked at it, you might find some useful information in the SWATH tutorial:
https://skyline.ms/wiki/home/software/Skyline/page.view?name=tutorial_dia_swath
-- Nick