File / Open Catalog is used with LR catalogs not images you want to import into LR.
You should open a LR catalog, perhaps an empty one that you create with File / New Catalog.
Once you have LR open with a catalog, then use File / Import Photos and Video, select an Add import, then browse over to the PSD you want to try to import.
A more general question would be why are you using LR with things you get from 960.gs? Photoshop would be better suited to deal with PSDs. LR only reads the composite preview embedded in a PSD. Photoshop would be able to deal with the layers contained inside.
Thank you for your answer. I can't open the DSP file with "Import photos and videos" it would take only photos and videos type of files...
Also, i thought that LightRoom was a updated version of Photoshop, so i guess i'm wrong, or can i do same stuffs with LR than with PhotoShop ?
A PSD saved with Compatibility Mode enabled that puts a composite layer on top that represents the PSD can be imported into LR.
Here are a couple articles about the differences between PS and LR: