Because of time zone differences, @Greybeard might not be seeing your post until later.
You do not need to click on the file, doing that will not cause it to update your camera.
The basic idea is you put the sd card in the card reader which is connected to your computer, copy the file to the card (drag and drop it onto the card icon). put the card back into the camera, turn the camera on while holding down certain buttons. Doing that sequence will start the process going.
Here are specific instructions:
https://fujifilm-x.com/global/support/download/procedure-x-interchangeable-ver2/
And with that, @Greybeard should eventually be back, I believe there is some sort of holiday going in in his home country at the moment, so see if the instructions make sense.
p.s. Welcome to the forum.