How to upload a 3d scan into solid works?

I found a file that I downloaded and tried to upload into solidworks and it shows up as a error saying that the file can not be found. I have changed the options and changed it to upload to a solid body but it still wont upload. What am I doing wrong and how can I fix the issue? I am new to the site and to solidworks so bare with me on things if takes me a little while to understand it. Thanks!

Ps. The files I downloaded were of a F350 3d scan from Ray.