sonic.plr, tails.plr and knuckles.plr have been combined into a single file called player.dta for 2.1 and onwards. You should look in there instead.
You do not. Information that points you to that stuff is outdated - you should use SLADE3 to open player.dta to get at the sprites.
Could you please link the outdated resources telling you to go to the .plr files?
Try to re-route the program to the SRB2 folder. Press Open and try to get to the SRB2 folder from that dialog and open a file from the folder.