If you can't load sdf, convert them to pdb using spartan and then open all at once (shift select) in PyRx, make them ligands. Then in the "autodock" tab, you can select all ligands at once along with the receptor molecule and do a virtual screening.
You can easily copy the prepared ligand pdbqt files into the Ligands directory of PyRX. In Windows, usually at "C:\Users\Your_username\.mgltools\PyRx\Ligands".