When I try to save or do anything like generator it says "Invalid file name" and when It says "Welcome click on EXE" I will click on the EXE and the box will just continue to pop up over and over again. Not sure how to get this started. 

When I click on the game the same box pops up over and over again. This is straight from launching the program 

I can tell from your screenshot that is the incorrect game. Those are the IL-2 Sturmovik Great Battles executable files. The DCG program is for IL-2 1946.

 

Wheels

DCG will default to IL-2 1946, but you may still be able to play the original IL-2.   There is an old setting to select which version of IL-2 that you are using.  Run DCG and once you get through all the selection, you should be able to go to the menu FILES -> SET GAME VERSION.  

Hopefully that will make it stop popping up like that.

(But I can't promise that DCG will work flawlessly with the original game as so much has changed over the years.