how can I make CAD flie of that screw and nozzle fixture in SOLIDWORKS?
1) Boss-Extrude, Extrude a circle to make a cylinder.
2) Swept-Boss, Sweep the ridge's profile along a helix for the screw's ridge.
3) Boss-Extrude, Extrude a bigger circle, setting its direction to "Up to Next", and set its direction of extrusion towards the sweep to make the part at the right.
This is not a very hard object to model, so you must be relatively new to this sort of work. I have attached a pdf document that goes through the basic steps i would use to make a model of the screw. The nozzle and bush are fairly basic parts so you should be able to work out yourself. With experience when an object to model is placed in front of you will know what tools in your software to use, often there will be more than one way to make a part. The method i used is similar in approach to how you make it, start off with a bar stock, turn down one end to make the step down end, then cut the tapered helix that forms the screw.