Obviously "EMPIRE SELECTED" stands for the folder of the Empire you have chosen.And this is only true if you did not customise the installation path when you installed the game.If you did, then you will have to find it.
Next, you must choose the Empire.
For example, England's folder is:
04Inglaterra
After that, you choose one of the three folders, for either infantry, cavalry or the fleet.
So if I wanted to change the infantry skins of the English units, I would go to the following: