Looks like it demanded the whole file path...to be pasted
I first copied and pasted to my desktop a folder containing the assembly:
like from C:\ Data\ 3DFiles\ Unit\ Assemblyfiles\ Assembly.prt
to my "Desktop"\ Assemblyfiles\ Assembly.prt
and it didn't work and gave the error.
Then I copied and pasted the full path:
"Desktop"\ Data\ 3DFiles\ Unit\ Assemblyfiles\ Assembly.prt
and it worked :-)