I may be wrong but it looks like you did not load a set of route markers properly.
I know you can use google earth to set up your route markers, but I like to use toporoute.com. There is a excellent tutorial on using toporoute here
http://www.trainsim.com/kdl.php?fid=22954 . The file is rte_tut.zip located at Trainsim.com.
After you load the marker files, the boxes in step 2 will be filled in for you. Also the boxes under suggested dim bounds will be filled in. Take the results of the suggested DEM and enter them into the USGS web site and download the .bil file, be sure to follow the steps in the addendum very closely. After that when you hit the load button under 4-DEM you will be asked for the .bil file. After you have loaded that then hit the create button and all will be downloaded to your source folder.
Warning, be sure to read everything very carefully as one missed step will cause you problems.
Hopr you get it.