but are your files on your desktop?
So, if they are NOT, move them from wherever they are to the desktop, then restart reason, or repon the sampler and load it from the desktop.
The other thing that you might be doing wrong is that you might be selecting the load button next to the instrument name (piano by default I supose) over the letters NNXT. It won't open like that.
Click, and open the sampler part (with the blue screen). Next to where it says sample there's 1 other load button. Choose that one. Also the files must be converted, well converted, not only changing the ending.