Here is what I was doing very far.
First, I selected “Install Files to NAND…”.
Second, I selected the update file. (The name of the game for this update file is Pokken Tournament DX.)
Third, I selected “Install”.
Plus, the pop-up message was shown, and the message said that the update file that I selected was unable to be installed.
I also tried to install the DLC files to NAND, but it did not work.
This version of yuzu is the windows-msvc-20210331-8608d37ba version.
Actually, never mind. I got the required key file in the “keys” folder.