It says the same thing the help file does, open the .bmp, but there is no bmp.
Do I have to rename one of the files I named above to a .bmp to get started?
If you made the terrain, open it in the TE. Go to: File>Make Map
Use the default settings and press OK. Now exit the TE and open: C:\Program Files\HTC\ah2editor\ahiiterr\MyMapName\
In this folder you will see a file named map.bmp. Open this file, go to: File>Save As
Now save this file as your terrain's name (Example: ndisles.bmp) and make sure the Save as Type: is set to: 256 color bitmap. After saving the file you have your clipboard map, this same bitmap can be loaded by the Cloud Editor to edit clouds for your terrain.
If you want the newly formed bitmap to load as your clipboard map on the terrain, make a new folder in the directory of your terrain named texsrc. For example, if your map name is ndisles, make the new folder here: C:\Program Files\HTC\ah2editor\ndisles\
Now place the newly saved bitmap in the texsrc folder. Upon loading the TE, the newly formed bitmap will load as the clipboard map.
Hopefully this answers some of your questions.