Hi Christy,
From the screenshot you sent, it looks like you do not have any gene annotation tracks loaded. To create the Sashimi Plot, IGV needs as input a track that contains the transcript annotations. It can be a track that you load into IGV specifically for that purpose, or it can be the gene annotation track for the reference genome that is loaded. For the IGV-hosted genomes, a default gene annotation track is always loaded by default, but since you are using your own, you will also need to load a track that has transcript annotations for your genome, or at least for the region you are interested in.
Helga