What version of the DNG Converter?
If you have the proper version, you do not choose individual NEFs to convert ... you choose a folder ... you single click on the folder name and then click on Convert or OK or whatever the button says
Please supply additional info about the procedures you are following.
Be aware that the DNG Converter is a standalone program that does not work through Lightroom. Its primary function is the conversion of raw files from supported camera models. Use the latest version which is version 8.7.
You will need to open the program and first select a folder / sub-folder that contains the files you wish to convert and proceed from there. see the screen capture.