You don't have Ligatures enabled. You can see this both in the Character panel and the OpenType menu.
As for the other OpenType features, they are not available with the Script typeface you are using and are grayed out. It's up the the type designer as to what they want to include when designing a typeface.
I have another question. The font that I downloaded is supposed to be attached. I talked with someone who have the same font and she can write with the Fi and all the letters are ok. But when I do it, it doesn't work and the letters are with spaces
What is the name of the typeface and where did you get it?
The one option you have available is Standard Ligatures, and that is turned off in your screenshot. What happens when you select the text and enable it? Can you ask your friend to send screenshots of her Character panel and OpenType menu?
Here is an example of ligatures: off on the left; enabled on the right:
Do you have any kerning or tracking applied to your text?