Are you using MEP2014 Plus or Movie Edit Touch which is what your question is referring to? Assuming that you indicated the wrong program, it looks like you are saving the capture file to Dropbox and MEP can't open it. Before capturing, try changing the output file location to somewhere that you have access to on your hard drive.
The mxv format is a Magix proprietary format; that's normal.
The problem is the second line under point 2, "Save in the following folder." Open that with the folder button to the right of the field and navigate to a location that you use, like My documents, Magix projects, Movie Edit Pro 2014 Plus, and create a folder with a name like "Captured files." I can see that you are still trying to save the captured files to Dropbox. Either you or someone else set this up to go there and you should not have. You have to change this.
Once done, you can navigate to the folder that you created to retrieve your files and import them into MEP for further editing.
If your problem is exactly the same as the OP's then the solution is the same; select a different folder to save the file.
If your problem is actually not exactly the same please post a screenshot of the error message or of the screen capture screen, as in fredbrownsracing's post three above this.