The problem with yours is that the voicebank is in a different folder. Usually, the voicebank will not be in the downloads folder unless you put it there yourself. Try finding the UTAU folder and look in the "voice" folder. There is where your voicebank should be.
The voicebank is a folder with all of the voice samples. You click on one of the wav files to insert it. I believe the "No File" error is because there is a character that is not hiragana or romaji somewhere in the folder/file. If you can screenshot the error, I might be able to help you more