The dialog is asking you to "Select Directory" - you want to choose the folder that contains all the images you want to convert. DICOM series are often saved as multiple files, and therefore you want to select the folder containing the files rather than a single file.

If you have further issues:

1. Can you confirm you are using the latest release (1.2.20190410)? 

2. To open a single foreign image, drag and drop the file onto MRIcroGL.

3. To open a series of foreign images, drag and drop the folder onto MRIcroGL.

4. To convert a series of images, choose Import/ConvertForeignToNIfTI and drop the folder containing your images onto the conversion form.