You can only export an sdltm file into tmx or import tmx into an sdltm file. For this purpose, go to the Translation Memories view (lower left corner of the Trados UI), then click Open to open an existing TM or click New to create a blank TM. Once done, click Import to import a tmx file. Or click Export (not for blank TMs) to export your TM into a tmx file. There is no option to open a tmx.
One thing I can think of is opening a tmx file for translation. However you cannot do that out of the box. You need a plugin for that (this one: https://appstore.rws.com/Plugin/61 ). But I doubt that your basic course may include a bit advanced exercise. If I am wrong, then download the plugin, install it, activate it in the File Types menu. Then you would be able to import a tmx file for translation (but not for using it as a TM).
UPDATE
Emanuela Navone wrote:
As soon as the new project window opens and is asked whether to create a new translation memory or open one on the pc, I click on the latter option and the Window's window asks me to open the file.
On file type, according to the course, I should have, in addition to the standard .sdltm, other options, such as .tmx, but they do not appear to me.
Several versions ago Trados was able to open tmx files for conversion into sdltm. There was a tmx extension along with sdltm in the New Project wizard. But it was removed I can't recall when... Is it possible that the course you take is so outdated? Many users complained about that "improvement" back then, and now RWS sells a course that old for money... Incredible! (Unless I misunderstand something.)
[Edited at 2023-07-11 21:19 GMT]