Incorrect file format
If you have a problem opening a certain file, first make sure that the file format is correct (you can check descriptions and examples of most common formats supported by Jmol in the File formats page).
Since Jmol does not use explicit format designations for the
load command, it relies only in the file contents to identify which is the format.
A common source of error is, for example, the lack of a line in the header of a
xyz file (even in the line is empty, it must be there).
File not found
Java has problems with folder names that contain spaces or non-English characters; it converts those characters to Unicode but then either Jmol or the OS do not interpret them correctly (at least under Windows).
For a safest test, put the model file (e.g., myFile.pdb) and the Jmol.jar file in the same folder, then open the script console and type
(do not use the top menu, File > Open, as that may insert the path)