I hope you understand English as I do not know Spanish
What it is telling you is there is no instructions for this flight if you download lessons from a website you could run into this problem. I am fairly certain that the lessons that came with FSX all have script files or instructions as to how to fly them. But I have only flown a few of these lessons so do not know if they all have instructions.
While you can fly these lessons there will be no instructions as to where your next way point is and which way to turn to find it .
My suggestion some of these lessons will come with a readme file that will give you the information you need from that you can sometimes make a flight plan out of those instructions and follow that.
If you are trying to learn how to fly I would suggest that you go through what is called a ground school. In the real world this is exactly what you would have to do as it goes into what and how a plane is and how it flys. It teaches you the basics about lift and drag
When FSX first opens there is a tab that reads learning center it is here where you need to start. You will find everything you need to get started.
some of these go into the details and explain everything.