I had the same issue but figured it out.

If you have a text file in \Objects\Sources\Source Files folder and can’t see it the issue my be how you renamed the extension. According to the help file I copied and pasted below it looks like you can change the .txt by right clicking and adding a .SDF or .DAT to the name. However this doesn’t seem to work in recent windows versions.

I think the reason for this is because Windows in surpassing the .TXT so you can’t delete it. Instead open the file in notepad by just double clicking it. Then “Save As”, then go to save type and change it from “.txt” to  “All Files”, add the .sfd to the file name and click save. Note that I used the encoding UFT-8. Some other encodings cause Zemax to crash.

See image below.

“The Source File is a source whose ray coordinates, cosines, and intensity are defined in a user supplied file. The name of the file containing the ray data must be placed in the comment column of the object. The file extension may be either DAT or SDF and the file must be placed in the <data>\Objects\Sources\Source Files folder (see “Folders” ). The extension SDF is recommended and DAT is supported only for backward compatibility. The file format may be either text or binary, both formats are described below.”

Note that you can stop windows from suppressing the file extensions by clicking view and clicking a check box so they are visible as was the default case in older windows versions. 

Trying changing the extension to SDF instead of DAT. You want windows to associate the file with Zemax (like your CREE_XTE_1m.SDF, Sample.SDF, and VMNN110CMS.SDF in your image). Notice that all you .dat file still default to notebook. Once I changed the extension in the method above the association changed to Zemax in the windows explorer.