Hi Sofia,
What it looks like happened here is that you saved the file as an excel format such as xls or xlsx, then renamed it to CLS and tried to load it into GSEA, however GSEA can't the data structure of the proprietary microsoft formats, so instead you first have to save the file as Tab Delimited Text (.txt) (or something like that) from the save as menu, and only then can you change the file extension to .cls.
Let me know if you still have issues after trying this step
-Anthony
Anthony S. Castanza, PhD
Curator, Molecular Signatures Database
Mesirov Lab, Department of Medicine
University of California, San Diego