You are probably trying to create a new material and assign a texture image from a file. The file selector dialog only displays image file types that are supported as texture images (.jpg, .png, .bmp, …).
The .skm files however are a complete material (not an image that can be assigned as texture to a material). It would be great if one could just open an .skm file and add it to the other materials. But SketchUp only loads .skm files contained in your materials folder, which is either in
C:\Users\username\App Data\Roaming\SketchUp\SketchUp #\Materials
~/Library/Application Support/SketchUp 2019/SketchUp/Materials
Move the .skm files there and they should appear in your custom material libraries the next time you start SketchUp.