Unless you are having problems with your network or Internet connection, there should be no need to "diagnose" anything. As I mentioned, I have tried the "Diagnose Connection" program numerous times when I did have issues, and it has never once provided any useful information that could be used to correct or fix anything. You are not likely to have much better luck with that program, although it never hurts to try.

File Explorer itself should not be giving you any messages to to go to the Internet / Web to find anything. If you get such a message when you click on a file in File Explorer, that is because there is no file association for that file, so Windows does not know what program should be used to open or use that file.

A message box that vanishes too quickly to screen capture or even read is not very useful, and can often be an indication of the presence of malware, although there are legitimate Microsoft messages that may do this.