Hi Erik,
If you don't see the extensions in your system (windows?) you should not rename file by adding the .cfg (else it will became data.cfg.cfg), just save it as is from the configurator.
You system is windows, so:
1) Make sure you have the checked box "Show Extensions" in your file explorer. As you know, as default windows hide many "system, standard" extensions (I don't know why to do this). So, you always see "data" instead of "data.cfg", or "devices" instead of "devices.prf".
2) Make sure you put the file in the plugin's folder (HCSCI). In your browser set the "Always ask" where to save files, in that case you can directly select the folder simvim to save cfg file.
A message is just usual system precaution for user.
- Roman