After reading this and trying something - I did manage to make some progress…
After freshly booting up Slicer and uploading the DICOM data, I then clicked “Load” on the bottom of the Slicer interface and it loaded the DICOM files (which I think allows me to view their contents) and each scan appeared under the “Loaded Data” window in the left sidebar.
After that, when I clicked “Save” (from under “File” or Ctrl + S) I had the option of saving multiple files as .nrrd. (But not the whole of the data). I was able to find the files in the directory I saved them to.
So maybe I was running into difficulties because the DICOM data I was importing was from multiple different CT scans, and I had to load them first so it recognized them as multiple scans to be saved as multiple .nrrd files?
I just want to make sure I did this correctly in accordance with the tutorial I linked in my first post, so let me know.
All your issues are related to your DICOM import. If you can successfully import DICOMs, you can save them as NRRD.
From the screenshot it appears you are trying to load every single dicom file as a separate volume.
Go to File->Add DICOM to switch to the DICOM module then click Import DICOM Files and navigate to the folder where you have your files and click import. If you have more than one study, it may take a few minutes to import them all. Then from the database click the study you wish to load into the scene. After that you can use the File As to save your imported volume as NRRD.