You shouldn't have to select a file, if you could somehow get a picture of what you are looking at, that would be great.
This was directly off of Alienwares website on how to install windows.
Turn on your computer to insert the DVD or USB flash drive and then shut it down.
Restart the computer and at the Alienware logo start tapping the F12 key to get the Boot menu.
Choose the DVD/USB flash drive from the list and hit enter.
When prompted, choose your language and the other preferences there listed and click next.
Click on Install Windows.
On the license terms page, if you accept them, click I accept the license terms, and then click next.
On the Which type of installation do you want? page, click Custom.
On the Where do you want to install Windows? page:
If you have a new or replacement hard drive just select it, click on new and then apply.
If you are formatting the existing drive, select the windows partition that you want to change.
Click the Format option and then follow the on-screen instructions.
When you have finished formatting, click on next for the Windows Setup to begin and follow the on-screen instructions to finish installing Windows.
I am not sure if I am understanding your question right, I think you are using some of your terminology wrong.
Are you asking what do you need to do in the bios to install windows? – Matthew Valdez – 2019-01-04T20:31:25.363
@MatthewValdez, when I get into bios setting, I will go to Boot menu, then go to "File Browser Add boot option" to add my USB as boot device. But, when I select my usb device, I need select a file in that device. So I wonder I should select "bootx64.efi" or "bootmrg.efi" – Gen.L – 2019-01-04T20:36:19.560
Erm, that sounds weird. You need to able usb booting if it not enabled. Then change your boot device to the usb if your bios allows it, if not, you will need to change usb booting as your first boot device, and exit bios and boot into the usb to being installing windows. – Matthew Valdez – 2019-01-04T20:40:20.070
@MatthewValdez Yeah, I know that. But in my scenario, it is not just pushing the USB booting to the top and save and exit bios. I need add my usb booting first. That is why there is "File Browser Add boot Option". The motherboard is not smart enough to know which file it go from my usb installation device. By the way, my computer is "Alienware Aurora R6" – Gen.L – 2019-01-04T20:45:01.793
You should pick neither. During the installation of Windows, the proper file will be configured. Changing the boot order will be required, but that neither requires you to select which .efi file you will use, nor configure which one will be used to boot into Windows. – Ramhound – 2019-01-04T21:14:52.847