It sounds like you are working through this tutorial:
https://skyline.ms/wiki/home/software/Skyline/page.view?name=tutorial_dia&show=html

In your first screenshot, the error message is saying that it could not find the file "20130311_DDA_Pit01.mzML".

The data files that you need for the tutorial can be downloaded from here:
https://skyline.ms/tutorials/DIA-20_2.zip
alternatively, if you want a smaller set of files to download you can download this:
https://skyline.ms/tutorials/DIALibrary-20_2.zip

When you unzip either of those .zip files, the file "20130311_DDA_Pit01.mzXML" should end up in the same folder as "interact-20130311_DDA_Pit01.pep.xml" and you should be able to complete the steps of the tutorial.

In the second screenshot, it sounds like you are at the "Export Isolation List" step of the tutorial.
https://skyline.ms/tutorials/24-1/DIA/en/#figure8

The Export Isolation List dialog asks you which instrument type you are exporting an isolation list for. The type of instrument that you choose affects the filename extension that will be chosen in the dialog where you save the file. The tutorial steps say to choose "Thermo Q Exactive" which will cause that filename extension to be ".csv". If you instead choose something from "Waters" then the filename extension will be ".mrm".
-- Nick