The menu says “select preset file” not “load audio file”, that’s why.
I think it’s best look for the online manual to get started with Decent Sampler.
For the internal audio players there are different approaches depending on the requirements.
You could use one player for each sample and trigger them with widgets that you assign a note to.
Please also look at these examples here:
Or here for a multi-track solution: 8x sample player using the internal SAFP (GP 4.82 and later)