First you need to upload the files, using the Upload button in the Files pane (as @kgilds helpfully pointed out). When you click on it, you should get a dialog box with a button that launches your system file picker. The dialog box will also advise you to upload multiple files by first compressing them into a zip archive and then uploading the archive.
Once you have uploaded your files, they should appear in the Files pane. When you use the Import Dataset feature, its file browser is browsing the files in your cloud project, not the files on your computer. So you need to upload first so that there’s something to select 