I belive, that when you are asked for the start point, you already see your spline. Correct? If so, than there is no problem. Here is the description, of what is happening:
[ul]
[li]insert->curve->spline[/li]
[li]select through points[/li]
[li]select single segment[/li]
[li]select Points From File[/li]
[li]select the file and click OK[/li]
[li]the curve is now created. You should see the curve now.[/li]
[li]now, when you click on the OK command, you are creating new curve. And since you didn't select new file with point data, NX is asking you for a different method. And that is, selecting the points, that were created with sketch or with insert->datum/point->point.[/li]
[li]just close the dialogbox now, and you will have your curve.[/li]
[/ul]
Try this, to be convinced about this procedure:
[ul]
[li]draw five points anywhere[/li]
[li]insert->curve->spline[/li]
[li]select through points[/li]
[li]select single segment[/li]
[li]do not click on Points From File. Just click on OK. You are moved to the step, that is confusing you now.[/li]
[li]now, select Chain from All. You are now able to select start and end point.[/li]
[/ul]
I hope, that this explains and solves the problem.