PS, all of the files that I am trying to import or copy/paste are PNG and it's supposed to be acceptable file format. Again, I bring them in, see them, name them, save them, but then when I select them to make notes, my screen is blank.
Hey there. It would be nice if you can share a screenshot, although I suspect what might be happening.
Everything in Xd must be on an artboard in order to be visible in the prototype. If you just paste a PNG inside Xd you can see it, but it's probably in the "Pasteboard" - i.e. in the space outside any artboard.
You must first create an artboard with the size of the screen you want to show. When you're first creating your Xd file, make sure you click on one of the artboard options on the home screen, for example Web 1920. You will then see only one artboard on your screen. Make sure you paste while it's selected, and if the image is outside of it, drag it in there.
To make more artboards, select this one by clicking on its name and press Ctrl/Cmd + D. Make sure all your images are inside an artboard. You can also make one with a custom size or use presets while using the artboard tool - Press A, or select it from the tools pane:

If you scale the artboard vertically from the bottom, you will see a dotted line - this represents the viewport, i.e. what part of the screen is visible, while everything below the dotted line you will have to scroll in order to see when viewing the prototype.

About the screenshots, browsers can take full size screenshots - the whole height of the page, without having to make multiple and stitch them together. If you're running Chrome, you must do the following
1. Press Ctrl-Shift-P (or Cmd-Shift-P on a Mac).
2. Ctrl-Shift-P (or Cmd-Shift-P on a Mac).
3. Type "screenshot" in the command field, and you will see "Take full size screenshot", which will capture the whole page top to bottom and save it to your PC.
On Firefox, you can simply right click anywhere, choose Take Screenshot, and choose "Save Full Page" on the top right.
So, you would make the full size screenshot, paste it in an artboard, resize it so it matches the height of the screenshot, and your prototype will pretty much function like your website in terms of scrolling. Then you will just have to make the notes with drawing rectangles on top of the screenshot + text areas on top of them or something like that.
If you're still having troubles, let us know. The software is specialized and has a bit of a learning curve.