If you want to import the FreeSurfer segmentation, select the anatomy folder from the derivatives/freesurfer/sub-... folder.
If you don't have the output of FreeSurfer available for this subject, you need to need to run the segmentation manually, with FreeSurfer, CAT, or other solutions supported by Brainstorm.
If you haven't followed the introduction tutorials yet, I recommend you start by reading all the online tutorials in the section "Get started", before following the OMEGA tutorial.
https://neuroimage.usc.edu/brainstorm/Tutorials