The files need to be on the local computer hard drive, a local networked drive or external drive connected to the computer. OneDrive is an online service.
You can use it as a backup of your images but not to import directly from OneDrive.
Thanks a lot. I tried copying one file and saving on desktop but that did not open either.
What do you mean it did not Open? Once it is copied to the desktop did you open LR and click the Import button, Point it to the Desktop folder, Select the Desktop folder as the Source location?