Dear Ana,
While the error message is not very informative and should be improved, it looks like it is trying to open a file without a name ('null') for reading and it can't.
You are getting this because you didn't also provide a PLINK-format bim map file, as required:
4) Binary data file: (PLINK .bed) [required] _
5) Pedigree file: (PLINK .fam) [required] _
6) PLINK map file: (PLINK .bim) [required] _
So if you give it the trio of a bed, fam, and bim files as input, it should then work for you.
I hope you find Mega2 useful in your research.
Thanks,
-- Dan --